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Dick van Dijk

About Dick van Dijk

Dick van Dijk, With an exceptional h-index of 53 and a recent h-index of 28 (since 2020), a distinguished researcher at Erasmus Universiteit Rotterdam, specializes in the field of Econometrics, Business cycles, Volatility, High-Frequency Data, Return Predictability.

His recent articles reflect a diverse array of research interests and contributions to the field:

Spillovers in sovereign debt markets in the Eurozone

Private-equityfondsen en publiek-naar-privaat transacties

STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS

Accelerating peak dating in a dynamic factor Markov-switching model

Does economic uncertainty predict real activity in real-time?

Localizing strictly proper scoring rules

Backtesting value-at-risk and expected shortfall in the presence of estimation error

Supplementary Material for “Localizing Strictly Proper Scoring Rules”

Dick van Dijk Information

University

Position

Professor of Financial Econometrics

Citations(all)

14121

Citations(since 2020)

3756

Cited By

11945

hIndex(all)

53

hIndex(since 2020)

28

i10Index(all)

117

i10Index(since 2020)

66

Email

University Profile Page

Google Scholar

Dick van Dijk Skills & Research Interests

Econometrics

Business cycles

Volatility

High-Frequency Data

Return Predictability

Top articles of Dick van Dijk

Spillovers in sovereign debt markets in the Eurozone

2024/2/29

Private-equityfondsen en publiek-naar-privaat transacties

2024/2/6

STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS

2024

Jeremy Piger
Jeremy Piger

H-Index: 20

Heather Anderson
Heather Anderson

H-Index: 17

Francesco Ravazzolo
Francesco Ravazzolo

H-Index: 25

Yoosoon Chang
Yoosoon Chang

H-Index: 14

Cees Diks
Cees Diks

H-Index: 23

Massimo Guidolin
Massimo Guidolin

H-Index: 22

Tae-Hwy Lee
Tae-Hwy Lee

H-Index: 17

Jun Ma
Jun Ma

H-Index: 25

Bruce Mizrach
Bruce Mizrach

H-Index: 13

Stefan Mittnik
Stefan Mittnik

H-Index: 21

Philip Rothman
Philip Rothman

H-Index: 11

Gerhard Sorger
Gerhard Sorger

H-Index: 17

Dick Van Dijk
Dick Van Dijk

H-Index: 31

Anastasios Xepapadeas
Anastasios Xepapadeas

H-Index: 26

Jess Benhabib
Jess Benhabib

H-Index: 39

Accelerating peak dating in a dynamic factor Markov-switching model

International Journal of Forecasting

2024/1/1

Dick Van Dijk
Dick Van Dijk

H-Index: 31

Does economic uncertainty predict real activity in real-time?

2023/3/1

Bart Keijsers
Bart Keijsers

H-Index: 1

Localizing strictly proper scoring rules

2023

Dick Van Dijk
Dick Van Dijk

H-Index: 31

Backtesting value-at-risk and expected shortfall in the presence of estimation error

Journal of Financial Econometrics

2023/1/1

Sander Barendse
Sander Barendse

H-Index: 2

Erik Kole
Erik Kole

H-Index: 7

Dick Van Dijk
Dick Van Dijk

H-Index: 31

Supplementary Material for “Localizing Strictly Proper Scoring Rules”

2023/12/24

Moments, shocks and spillovers in Markov-switching VAR models

Journal of Econometrics

2023/10/1

Erik Kole
Erik Kole

H-Index: 7

Dick Van Dijk
Dick Van Dijk

H-Index: 31

On the performance of different forecast combination approaches: How well do technical indicators truly predict commodity prices?

2023/6/30

Dick Van Dijk
Dick Van Dijk

H-Index: 31

Explaining the (cross-sectional) variation in expected cryptocurrency returns through various characteristics

2023/5/23

Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models

Available at SSRN 4408065

2023/4/3

Daan Opschoor
Daan Opschoor

H-Index: 0

Modeling and estimation of synchronization in size-sorted portfolio returns

Central Bank Review

2022/12/1

Dick Van Dijk
Dick Van Dijk

H-Index: 31

Robust observation-driven models using proximal-parameter updates

Available at SSRN 4227958

2022/9/21

A General Procedure for Localising Strictly Proper Scoring Rules

2022/7/10

Cees Diks
Cees Diks

H-Index: 23

Dick Van Dijk
Dick Van Dijk

H-Index: 31

The hidden costs of the corporate carbon footprint: a machine learning approach

2021/10/5

Closed-form multi-factor copula models with observation-driven dynamic factor loadings

Journal of Business & Economic Statistics

2021/10/2

Anne Opschoor
Anne Opschoor

H-Index: 7

Dick Van Dijk
Dick Van Dijk

H-Index: 31

Pooling Dynamic Conditional Correlation Models

2021/9/16

Univariate Stochastic Volatilty Models with a General and Non-Causal Leverage Structure: A Comparison Study

2021/8/6

Improving machine learning ensemble models with statistical techniques in the forecasting of cryptocurrency prices

2021/7/13

See List of Professors in Dick van Dijk University(Erasmus Universiteit Rotterdam)