Dick D.j.c. Van Dijk
Erasmus University Rotterdam
His areas of special interest are volatility modelling and forecasting, high-frequency data, asset return predictability, business cycle analysis, and non-linear time series analysis. Professor van Dijk has published widely in all the major journals in the field including, among others, the Journal of Banking and Finance, the Review of Finance, the Journal of Applied Econometrics, the Journal of Business and Economic Statistics, the Journal of Econometrics, and the Review of Economics and Statistics. He received his PhD in econometrics cum laude from Erasmus University Rotterdam in 1999.
P. Janus, A. Lucas, A. Opschoor & D.J.C. van Dijk (2017). New HEAVY models for fat-tailed realized covariances and returns. Journal of Business and Economic Statistics. doi: http://dx.doi.org/10.1080/07350015.2016.1245622
H.J.W.G. Kole, T.D. Markwat, A. Opschoor & D.J.C. van Dijk (2017). Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. Journal of Financial Econometrics, 15 (4), 649-677. doi: 10.1093/jjfinec/nbx019
A. Opschoor, D.J.C. van Dijk & M. van der Wel (2017). Combining Density Forecasts using Focused Scoring Rules. Journal of Applied Econometrics, 32 (7), 1298-1313. doi: 10.1002/jae.2575