Dick van Dijk

Dick van Dijk is a Professor of Econometrics (Finance) at the Department of Econometrics, Erasmus School of Economics (ESE), Erasmus University Rotterdam. He has been affiliated with the institution since 2002 and is also a Fellow of ERIM (Erasmus Research Institute of Management) in the Finance & Accounting field.

Professor van Dijk's research focuses on volatility modelling and forecasting, high-frequency data analysis, asset return predictability, business cycle analysis, and non-linear time series analysis. His work bridges theoretical econometrics with practical financial applications, particularly in risk management and forecasting. His methodological innovations have significantly contributed to advancing techniques for modeling financial time series and economic indicators.

His publication record spans over two decades with articles appearing in top journals including the Economic Journal, International Journal of Forecasting, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Review of Economics and Statistics, and Review of Finance. His research demonstrates consistent evolution from foundational time series analysis to cutting-edge applications in financial markets and economic forecasting.

Professor van Dijk has supervised multiple PhD students throughout his career, including Milan Lovric (2005-2011) working on Behavioral Finance and Agent-Based Artificial Markets, and Melissa Porras Prado (2006-2012) researching The Long and Short Side of Real Estate, Real Estate Stocks, and Equity. He has served on doctoral committees for at least eight PhD candidates across various finance and econometrics topics.

He has contributed to editorial work for prominent journals including the Journal of Applied Econometrics, International Journal of Forecasting, and Applied Economics, demonstrating his standing as a respected authority in the field of econometrics and financial modeling.