Welcome to the homepage of
Dick van Dijk
34th International Symposium on Forecasting
From June 29 - July 2, 2014, we hosted the 34th International Symposium on Forecasting
International Bachelor Econometrics and Operations Research
Erasmus School of Economics is launching an International Bachelor Econometrics
and Operations Research program in September 2012.
All detailed information is available here.
No clue what econometrics is? Check out "Econometrics explained the Dutch way".
Recent working papers
Opschoor, A., D. van Dijk and M. van der Wel (2014), Improving density forecasts and Value-at-Risk estimates by combining densities, Tinbergen Institute Discussion Paper No. 14-090/III. (download here, July 2014)
Abstract: We investigate the added value of combining density forecasts for asset return prediction in a specific region of support. We develop a new technique that takes into account model uncertainty by assigning weights to individual predictive densities using a scoring rule based on the censored likelihood. We apply this approach in the context of recently developed univariate volatility models (including HEAVY and Realized GARCH models), using daily returns from the S&P 500, DJIA, FTSE and Nikkei stock market indexes from 2000 until 2013. The results show that combined density forecasts based on the censored likelihood scoring rule significantly outperform pooling based on the log scoring rule and individual density forecasts. The same result, albeit less strong, holds when compared to combined density forecasts based on equal weights. In addition, VaR estimates improve at the short horizon, in particular when compared to estimates based on equal weights or to the VaR estimates of the individual models.
Ozturk, S., M. van der Wel and D. van Dijk, 2014, Intraday price discovery in fragmented markets, Tinbergen Institute Discussion Paper No. 14-027/III. (download here, February 2014)
Abstract: For many assets, trading is fragmented across multiple exchanges. Price discovery measures summarize the informativeness of trading on each venue for discovering the asset’s true underlying value. We explore intraday variation in price discovery using a structural model with time-varying parameters that can be estimated with state space techniques. An application to the Expedia stock demonstrates intraday variation, to the extent that the overall dominant trading venue (NASDAQ) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday variation in information shares.
Van Dijk, D., R. Lumsdaine and M. Van der Wel, 2014, Market set-up in advance of Federal Reserve policy decisions, NBER Working Paper No. 19814. (download here, January 2014)
Abstract: This paper considers the uncertainty associated with upcoming Federal Open Market Committee (FOMC) announcements and the extent to which the market begins to set up for such announcements well before they actually occur. We demonstrate that markets set up well in advance of known announcement days; as a result, there is often less uncertainty in the period immediately preceding an FOMC announcement, despite greater volume of activity, as the market has already incorporated anticipated signals. We consider the relative importance of both macro announcements and central bank officials’ speeches and congressional testimony in shaping market expectations. We find substantial evidence of anticipatory effects; these results are particularly relevant as the Fed develops its communication strategy to achieve an orderly exit from its program of quantitative easing.
Kole, E. and D. van Dijk, 2013, How to identify and forecast bull and bear markets?, ERIM Report Series 2013-016-F&A. (download here, October 2013)
Abstract: The state of the equity market, often referred to as a bull or a bear market, is of key importance for financial decisions and economic analyses. Its latent nature has led to several methods to identify past and current states of the market and forecast future states. These methods encompass semi-parametric rule-based methods and parametric regime-switching models. We compare these methods by new statistical and economic measures that take into account the latent nature of the market state. The statistical measure is based directly on the predictions, while the economic mea- sure is based on the utility that results when a risk-averse agent uses the predictions in an investment decision. Our application of this framework to the S&P500 shows that rule-based methods are preferable for (in-sample) identification of the market state, but regime-switching models for (out-of-sample) forecasting. In-sample only the direction of the market matters, but for forecasting both means and volatilities of returns are important. Both the statistical and the economic measures indicate that these differences are significant.
|Full name:||Dick van Dijk|
|Affiliation:||Econometric Institute, Erasmus University Rotterdam|
|Address:||P.O. Box 1738, 3000 DR Rotterdam, The Netherlands|
|Phone:||(+31) 10 - 40 81263|
|Fax:||(+31) 10 - 40 89162|
|Curriculum Vitae:||My CV can be viewed here|
The volume "Nonlinear Time Series Analysis of Business Cycles", edited together with Costas Milas (Keele University) and Philip Rothman (East Carolina University) has appeared in Elsevier’s Contributions to Economic Analysis series. Click here to order the book.
The book includes invited papers from leading academic experts in business cycle analysis around the world. The complete list of contributed papers can be viewed here. The introduction can be read here.
Philip Hans Franses and I wrote a book on "Nonlinear Time Series Models in Empirical Finance", published in June 2000 by Cambridge University Press. The book can be ordered here. For those of you who want to know more, an outline of the book, the data and GAUSS programs used are available here.
FEB23003 - Werkcollege Case Studies Econometrie en Operationele Research
FEB23006 - Introduction to Quantitative Finance
FEM21007 - Modern Business Cycle Analysis
FEM21012 - Financial Econometrics
FEM21019 - Financial Case-studies
FEM21032 - Bayesian Econometrics in Finance
The Econometric Institute offers a one-year MSc Program in Econometrics & Management Science, with Master Programs in Econometrics, Quantitative Finance, Business Analytics and Quantitative Marketing, and Operations Research and Quantitative Logistics. The entire program is taught in English.
The Master program in Quantitative Finance for 2014/15 is as follows:
Block II (November-December 2014)
FEM21004 Quantitative Methods in International Finance and Macroeconomics
FEM21032 Bayesian Econometrics in Finance
FEM21034 Quantitative Risk Management
Block III (January - February 2015)
FEM21010 Portfolio Management
FEM21019 Financial Case Studies
Block IV (March-April 2015)
FEM21019 Financial Case Studies
FEM21030 Master's thesis proposal
FEM21031 Master's thesis
Block V (May-August 2015)
FEM21031 Master's thesis