Dick van Dijk's Page

Institution (Primary)

Erasmus University Rotterdam

Research Group

Econometric Institute

Academic Homepage

http://people.few.eur.nl/djvandijk

Personal Homepage

http://people.few.eur.nl/djvandijk

Primary Research Interests

Financial econometrics; risk management; asset return volatility; asset return predictability; high-frequency data; factor models

Published Research

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, to appear.

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, to appear.

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 macroeconomic announcements, International Journal of Forecasting, to appear.

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.

Martens, M. and D. van Dijk, 2007, Measuring volatility with the realized range, Journal of Econometrics 138, 181-207.

Giordani, P., R. Kohn and D. van Dijk, 2007, A unified approach to nonlinearity, structural change and outliers, Journal of Econometrics 137, 112-133.

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.

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.