Prof.dr. D.J.C. van Dijk

Update Persondata

• analysis
• data
• econometrics
• finance
• financial
• frequency
• high
• management
• risk
• series
• time

Active as

Publications

(the most recent at the top)

Comparing the Accuracy of Copula- Based Multivariate Density Forecasts in Selected Regions of Support

Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements

Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading

Realized mixed-frequency factor models for vast dimensional covariance estimation

Forecasting Interest Rates with Shifting Endpoints

All publications..

Enhanced publications

(the most recent at the top)

Doctoral Thesis: Modeling and Forecasting Stock Return Volatility and the Term Structure of Interest Rates

Current research

(the most recent research is at the top)
Supervisor	The Role of Commodities in Asset Allocation
Supervisor	Abrupt Changes in Asset Pricing
Supervisor	Knightian Uncertainty in Financial Decision-Making
Supervisor	Forecasting Macro Economic Variables
Supervisor	Real-time monitoring and forecasting of business cycles using high-frequency data

Completed research projects

(the most recent research is at the top)
Supervisor	Applications of Copulas to Modelling and Forecasting Financial Risk
Supervisor	Crash Consequenses for Investing in Emerging Markets
Supervisor	Measuring and Forecasting Financial Market Volatility using High-Frequency Data
Supervisor	Modeling and Forecasting Stock Return Volatility and the Term Structure of Interest Rates

Classification

D43000	Economics