Publications
Journal publications
Kole, E. and D. van Dijk, 2023, Moments, shocks and spillovers in Markov-switching VAR models, Journal of Econometrics, forthcoming.
Van Os, B. and D. van Dijk, 2023, Accelerating peak dating in a dynamic factor Markov-Switching model, International Journal of Forecasting, forthcoming.
Barendse, S., E. Kole and D. van Dijk, 2023, Backtesting Value-at-Risk and Expected Shortfall in the presence of estimation error, Journal of Financial Econometrics 21, 528-568.
Cakmakli, C., R. Paap and D. van Dijk, 2022, Modeling and estimation of synchronization in size-sorted portfolio returns, Central Bank Review 22, 129-140.
Opschoor, A., A. Lucas, I. Barra and D. van Dijk, 2021, Closed-form multi-factor copula models with observation-driven dynamic factor loadings, Journal of Business and Economic Statistics 39, 1066-1079.
Franses, P.H. and D. van Dijk, 2019, Combining expert-adjusted forecasts, Journal of Forecasting 38, 415-421.
Janus, P., A. Lucas, A. Opschoor and D. van Dijk, 2018, New HEAVY models for fat-tailed realized covariances and returns, Journal of Business and Economic Statistics 36, 643-657.
Opschoor, A., D. van Dijk and M. van der Wel, 2017, Combining density forecasts using focused scoring rules, Journal of Applied Econometrics 32, 1298-1313.
Kole, E., T. Markwat, A. Opschoor and D. van Dijk, 2017, Forecasting Value-at-Risk under temporal and portfolio aggregation, Journal of Financial Econometrics 15, 649-677.
Kole, E. and D. van Dijk, 2017, How to identify and forecast bull and bear markets?, Journal of Applied Econometrics 32, 120-139.
Oztürk, S.R., M. van der Wel and D. van Dijk, 2017, Intraday price discovery in fragmented markets, Journal of Financial Markets 32, 28-48.
van Dijk, D., R.L. Lumsdaine and M. van der Wel, 2016, Market set-up in advance of Federal Reserve policy rate decisions, Economic Journal 126, 618-653.
Exterkate, P., P.J.F. Groenen, C. Heij and D. van Dijk, 2016, Nonlinear forecasting with many predictors using kernel ridge regression, International Journal of Forecasting 32, 736-753.
Cakmakli, C. and D. van Dijk, 2016, Getting the most out of macroeconomic information for predicting excess stock returns, International Journal of Forecasting 32, 650-668.
Raviv, E., K.E. Bouwman and D. van Dijk, 2015, Forecasting day-ahead electricity prices: utilizing hourly prices, Energy Economics 50, 227-239.
Opschoor, A., D. van Dijk and M. van der Wel, 2014, Predicting volatility and correlations with financial conditions indexes, Journal of Empirical Finance 29, 435-447.
Diks, C., V. Panchenko, O. Sokolinskiy and D. van Dijk, 2014, Comparing the accuracy of multivariate density forecasts in selected regions of the copula support, Journal of Economic Dynamics and Control 48, 79-94.
Opschoor, A., N. Taylor, M. van der Wel and D. van Dijk, 2014, Order flow and volatility: An empirical investigation, Journal of Empirical Finance 28, 185-201.
Van Dijk, D., S.-J. Koopman, M. van der Wel and J.H. Wright, 2014, Forecasting interest rates with shifting endpoints, Journal of Applied Econometrics 29, 693-712.
Ferrara, L. and D. van Dijk, 2014, Forecasting the business cycle (editors’ introduction), International Journal of Forecasting 30, 517-519.
Bataa, E., D.R. Osborn, M. Sensier and D. van Dijk, 2014, Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation, Oxford Bulletin of Economics and Statistics 78, 360-388.
Scholtus, M., D. van Dijk and B. Frijns, 2014, Speed, algorithmic trading, and market quality around macroeconomic news announcements, Journal of Banking and Finance 38, 89-105.
Bannouh, K., M. Martens and D. van Dijk, 2013, Measuring and forecasting volatility with the realized range in the presence of noise and non-trading, North American Journal of Economics and Finance 26, 535-551.
Schauten, M.B.J., D. van Dijk and J.P. van der Waal, 2013, Corporate governance and the value of excess cash holdings of large European firms, European Financial Management 19, 991-1016.
Cakmakli, C., R. Paap and D. van Dijk, 2013, Measuring and predicting heterogeneous recessions, Journal of Economic Dynamics and Control 37, 2195-2216.
Van den Hauwe, S., R. Paap and D. van Dijk, 2013, Bayesian forecasting of federal funds target rate decisions, Journal of Macroeconomics 37, 19-40.
Bataa, E., D.R. Osborn, M. Sensier and D. van Dijk, 2013, Structural breaks in the international dynamics of inflation, Review of Economics and Statistics 95, 646-659.
Fidrmuc, J.P., A. Palandri, P. Roosenboom and D. van Dijk, 2013, When do managers seek private equity backing in public-to-private transactions?, Review of Finance 17, 1099-1139.
Exterkate, P., D. van Dijk, C. Heij and P.J.F. Groenen, 2013, Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model, Journal of Forecasting 32, 193-214.
De Zwart, G., B. Frieser and D. van Dijk, 2012, Private equity recommitment strategies for institutional investors, Financial Analysts Journal 68, 81-99.
Santos, A.A.P., F.J. Nogales, E. Ruiz and D. van Dijk, 2012, Optimal portfolios with minimum capital requirements, Journal of Banking and Finance 36, 1928-1942.
Baştürk, N., R. Paap and D. van Dijk, 2012, Structural differences in economic growth: An endogenous clustering approach, Applied Economics 44, 119-134.
Van Dijk, B., P.H. Franses, R. Paap and D. van Dijk, 2011, Modeling regional house prices, Applied Economics 43, 2097-2110.
Diks, C., V. Panchenko and D. van Dijk, 2011, Likelihood-based scoring rules for comparing density forecasts in tails, Journal of Econometrics 163, 215-230.
Heij, C., D. van Dijk and P.J.F. Groenen, 2011, Forecasting with leading indicators by means of the principal covariate index, Journal of Business Cycle Measurement and Analysis 2011, 73-92.
Heij, C., D. van Dijk and P.J.F. Groenen, 2011, Real-time macroeconomic forecasting with leading indicators: an empirical comparison, International Journal of Forecasting 27, 466-481.
Van Dijk, D., H. Munandar and C.M. Hafner, 2011, The euro introduction and noneuro currencies, Applied Financial Economics 21, 95-116.
Diks, C., V. Panchenko and D. van Dijk, 2010, Out-of-sample comparison of copula specifications in multivariate density forecasts, Journal of Economic Dynamics and Control 34, 1596-1609.
Boswijk, H.P., P.H. Franses and D. van Dijk, 2010, Cointegration in a historical perspective, Journal of Econometrics 158, 156-159.
Boswijk, H.P., P.H. Franses and D. van Dijk, 2010, Twenty years of cointegration (editors’ introduction), Journal of Econometrics 158, 1-2.
Chulia-Soler, H., M. Martens and D. van Dijk, 2010, Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations, Journal of Banking and Finance 34, 834-839. (An Appendix file with additional results is available here)
Lord, R., R. Koekkoek and D. van Dijk, 2010, A comparison of biased simulation schemes for stochastic volatility models, Quantitative Finance 10, 177-194.
Paap, R., R. Segers, and D. van Dijk, 2009, Do leading indicators lead peaks more than troughs?, Journal of Business and Economic Statistics 27, 528-543.
Watkins, K., J. Spronk and D. van Dijk, 2009, Corporate governance and performance during normal and crisis periods: Evidence from an emerging market perspective, International Journal of Corporate Governance 1, 382-399.
Bannouh, K., D. van Dijk and M. Martens, 2009, Range-based covariance estimation using high-frequency data: The realized co-range, Journal of Financial Econometrics 7, 341-372.
Markwat, T., E. Kole and D. van Dijk, 2009, Contagion as a domino effect in global stock markets, Journal of Banking and Finance 33, 1996-2012.
Musso, A., L. Stracca and D. van Dijk, 2009, Instability and nonlinearity in the euro area Phillips curve, International Journal of Central Banking 5, 181-212.
De Zwart, G., T. Markwat, L. Swinkels and D. van Dijk, 2009, The economic value of fundamental and technical information in emerging currency markets, Journal of International Money and Finance 28, 581-604.
Clements, M.P., C. Milas and D. van Dijk, 2009, Forecasting returns and risk in financial markets using linear and nonlinear models (editors’ introduction), International Journal of Forecasting 25, 215-217.
Martens, M., D. van Dijk and M. de Pooter, 2009, Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macro-economic announcements, International Journal of Forecasting 25, 282-303. (An Appendix file with additional results is available here)
De Pooter, M., M. Martens and D. van Dijk, 2008, Predicting the daily covariance matrix for S&P 100 stocks using intraday data - but which frequency to use?, Econometric Reviews 27, 199-229.
Heij, C., D. van Dijk and P.J.F. Groenen, 2008, Macroeconomic forecasting with matched principal components, International Journal of Forecasting 24, 87-100.
van Dijk, D., P.H. Franses and H.P. Boswijk, 2007, Absorption of shocks in nonlinear autoregressive models, Computational Statistics and Data Analysis 51, 4206-4226.
Martens, M. and D. van Dijk, 2007, Measuring volatility with the realized range, Journal of Econometrics 138, 181-207.
Heij, C., P.J.F. Groenen and D. van Dijk, 2007, Forecast comparison of principal component regression and principal covariate regression, Computational Statistics and Data Analysis 51, 3612-3625.
Giordani, P., R. Kohn and D. van Dijk, 2007, A unified approach to nonlinearity, structural change and outliers, Journal of Econometrics 137, 112-133. (The working paper version with additional results is available here)
Harvey, D.I. and D. van Dijk, 2006, Sample size, lag order and critical values of seasonal unit root tests, Computational Statistics and Data Analysis 50, 2734-2751.
Franses, P.H. and D. van Dijk, 2006, A simple test for PPP among traded goods, Applied Financial Economics 16, 19-27.
Swanson, N.R. and D. van Dijk, 2006, Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry, Journal of Business and Economic Statistics 24, 24-42.
van Dijk, D., D.R. Osborn and M. Sensier, 2005, Testing for causality in variance in the presence of breaks, Economics Letters 89, 193-199.
Fok, D., D. van Dijk and P.H. Franses, 2005, Forecasting aggregates using panels of nonlinear time series, International Journal of Forecasting 21, 785-794.
Teräsvirta, T., D. van Dijk and M. Medeiros, 2005, Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination, International Journal of Forecasting 21, 755-783 (with discussion and reply).
Van Dijk, D., H.K. van Dijk and P.H. Franses, 2005, On the dynamics of business cycle analysis (editors’ introduction), Journal of Applied Econometrics 20, 147-150.
Fok, D., D. van Dijk and P.H. Franses, 2005, A multi-level panel STAR model for US manufacturing sectors, Journal of Applied Econometrics 20, 811-827.
van der Hart, J.M., G. de Zwart and D. van Dijk, 2005, The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?, Emerging Markets Review 6, 238-262.
Paap, R., P.H. Franses and D. van Dijk, 2005, Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method, Journal of Development Economics 77, 553-570.
Franses, P.H. and D. van Dijk, 2005, The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production, International Journal of Forecasting 21, 87-102.
Sensier, M. and D. van Dijk, 2004, Testing for volatility changes in US macroeconomic time series, Review of Economics and Statistics 86, 833-839.
Franses, P. H., D. van Dijk and A. Lucas, 2004, Short patches of outliers, ARCH and volatility modeling, Applied Financial Economics 14, 221-231.
van Dijk, D. and P.H. Franses, 2003, Selecting a nonlinear time series model using weighted tests of equal forecast accuracy, Oxford Bulletin of Economics and Statistics 65, 727-744.
Clements, M.P., P.H. Franses, J. Smith and D. van Dijk, 2003, On SETAR non-linearity and forecasting, Journal of Forecasting 22, 359-375.
van Dijk, D., B. Strikholm and T. Teräsvirta, 2003, The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series, Econometrics Journal 6, 79-98. (An Appendix file with additional results is available here)
van der Hart, J.M., E.J. Slagter and D. van Dijk, 2003, Stock selection strategies in emerging markets, Journal of Empirical Finance 10, 105-132.
Lundbergh, S., T. Teräsvirta and D. van Dijk, 2003, Time-varying smooth transition autoregressive models, Journal of Business & Economic Statistics 21, 104-121.
Taylor, A.M.R. and D. van Dijk, 2002, Can tests for stochastic unit roots provide useful portmanteau tests for persistence?, Oxford Bulletin of Economics and Statistics 64, 381-397.
van Dijk, D., P.H. Franses and R. Paap, 2002, A nonlinear long memory model, with an application to US unemployment, Journal of Econometrics 110, 135-165.
van Dijk, D., T. Teräsvirta and P.H. Franses, 2002, Smooth transition autoregressive models – A survey of recent developments, Econometric Reviews 21, 1-47.
Rothman, P., D. van Dijk and P.H. Franses, 2001, Multivariate STAR analysis of money-output relationship, Macroeconomic Dynamics 5, 506-532.
Franses, P.H., J. Neele and D. van Dijk, 2001, Modeling asymmetric volatility in weekly Dutch temperature data, Environmental Modelling and Software 16, 131-137.
Taylor, N., D. van Dijk, P.H. Franses and A. Lucas, 2000, SETS, arbitrage activity and stock price dynamics, Journal of Banking and Finance 24, 1289-1306.
van Dijk, D., P.H. Franses and A. Lucas, 1999b, Testing for ARCH in the presence of additive outliers, Journal of Applied Econometrics 14, 539-562.
van Dijk, D. and P.H. Franses, 1999, Modeling multiple regime in the business cycle, Macroeconomic Dynamics 3, 311-340.
van Dijk, D., P.H. Franses and A. Lucas, 1999a, Testing for smooth transition nonlinearity in the presence of outliers, Journal of Business & Economic Statistics 17, 217-235.
Franses, P.H. and D. van Dijk, 1996, Forecasting stock market volatility using (nonlinear) GARCH models, Journal of Forecasting 15, 229-235.
Books
Franses, P.H., D. van Dijk and A. Opschoor, 2014, Time Series Models for Business and Economics Forecasting 2nd edition, Cambridge: Cambridge University Press.
Milas, C., P. Rothman and D. van Dijk (eds.), 2006, Nonlinear Time Series Analysis of Business Cycles, Contributions to Economic Analysis 276, Amsterdam: Elsevier Science.
Franses, P.H. and D. van Dijk, 2000, Nonlinear Time Series Models in Empirical Finance, Cambridge: Cambridge University Press.
Book Contributions
van der Wel, M., S.R. Oztürk and D. van Dijk, 2016, Dynamic factor models for the volatility surface, in E. Hillebrand and S.J. Koopman (eds.), Dynamic Factor Models – Advances in Econometrics Vol. 35, Emerald Group Publishing Ltd, pp. 127-174.
Scholtus, M. and D. van Dijk, 2015, High-frequency activity on NASDAQ, in G.N. Gregoriou (ed.), The Handbook of High-Frequency Trading, Amsterdam: Elsevier, pp. 3-23.
Franses, P.H. and D. van Dijk, 2011, GARCH, outliers and forecasting volatility, in G.N. Gregoriou and R. Pascalau (eds.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, Palgrave-MacMillan, pp. 136-159.
Ravazzolo, F., R. Paap, D. van Dijk and P.H. Franses, 2008, Bayesian model averaging in the presence of structural breaks, in M. Wohar and D.E. Rapach (eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty – Frontiers of Economics and Globalization Series Vol.3, Emerald Group Publishing, pp. 561-594.
Hafner, C.M., D. van Dijk and P.H. Franses, 2006, Semi-parametric modelling of correlation dynamics, in D. Terrell and T.B. Fomby (eds.), Advances in Econometrics Vol. 20/A – Econometric Analysis of Financial and Economic Time Series, Amsterdam: Elsevier, pp. 59-103.
Osborn, D.R., M. Sensier and D. van Dijk, 2004, Predicting growth cycle regimes in European countries, in L. Reichlin (ed.), The euro area business cycle: stylized facts and measurement issues, CEPR, pp. 61-82.
Teräsvirta, T. and D. van Dijk, 2003, Modelling Finnish economic growth: 1860-2001, in K. Alho, J. Lassila and P. Ylä-Antilla (eds.), Economic Research and Decision Making,Essays on Structural Change, Growth and Economic Policy – Essays in honour Pentti Vartia, Helsinki: ETLA Research Institute of the Finnish Economy, 199-219.
Teräsvirta, T., B. Strikholm and D. van Dijk, 2003, Changing seasonal patterns in quarterly industrial production in Finland and Sweden, in R. Höglund, M. Jäntti and G. Rosenqvist (eds.), Statistics, Econometrics and Society – Essays in honour of Leif Nordberg, Helsinki: Statistics Finland, pp. 229-246.
van Dijk, D. and P.H. Franses, 2000, Nonlinear error-correction models for interest rates in the Netherlands, in W.A. Barnett, D. F. Hendry, S. Hylleberg, T. Teräsvirta, D. Tjøstheim, A.H. Würtz (eds.), Nonlinear Econometric Modeling in Time Series Analysis, Cambridge: Cambridge University Press, pp. 203-227.
Eisinga, R. P.H. Franses en D. van Dijk, 1998, Timing of vote decision in first and second order Dutch elections, 1978-1995: Evidence from artificial neural networks, in W.R. Mebane (ed.), Political Analysis Vol. 7, Ann Arbor: Universtiy of Michigan Press, 117-142.
Van Dijk, D. and P.H. Franses, 1997, A comment on ‘Smooth Transition Models’ by T. Teräsvirta, in C. Heij, J.M. Schumacher, B. Hanzon and C. Praagman (eds.), System Dynamics in Economic and Financial Models, Series in Financial Economics and Quantitative Analysis, Chichester: John Wiley.
Book reviews
van Dijk, D., 2006, ‘McNelis – Neural Networks in Finance’, International Journal of Forecasting 22, 407-408.
van Dijk, D., 2003, ‘Brooks – Introductory Econometrics for Finance’, De Economist 151, 344-345.
van Dijk, D., 2000, ‘Mills - The Econometric Modelling of Financial Time Series’, De Economist 148, 412-413.
van Dijk, D., 1999, ‘Pötscher and Prucha - Dynamic Nonlinear Econometric Models. Asymptotic Theory’, Kwantitatieve Methoden 60, 132-133.
van Dijk, D., 1998, ‘Gourieroux - ARCH Models and Financial Applications’, Kwantitatieve Methoden 58, 157-158.
Publications in Dutch
Reusch, Q. and D. van Dijk, 2008, Een politieke premie op de Nederlandse aandelenmarkt, Economisch Statistische Berichten 4529, 108-110.
Fidrmuc, J., P. Roosenboom and D. van Dijk, 2007, Private equity funds and public-to-private transactions, Maandblad voor Accountancy en Bedrijfseconomie 81, 323-334.
van Dijk, D., 1997, A comment on ‘Long run exchange rate predictability: a critical assessment’ by J.J.J. Groen, Tinbergen Institute Research Bulletin 9, 73-79.