Dick Van Dijk
Biographic Data
| ID | 3955741 |
|---|---|
| NAME | Dick Van Dijk |
| GIVEN NAMES | Dick |
| FAMILY NAME | Van Dijk |
| SIGNATURE | VAN DIJK D |
| AFFILIATIONS | Erasmus University Rotterdam |
| ORCID | 0000-0002-1880-204X |
| VERIFIED | Yes |
| TOTAL WORKS | 17 |
| TOTAL CITATIONS | 6 |
| WORKS AS AUTHOR | 17 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1972 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 2 |
Dynamic Conditional Correlations with Partial Information Pooling
We propose a novel Dynamic Conditional Correlation model with Conditional Linear Information Pooling (CLIP-DCC) which endogenously determines an optimal degree of commonality in the correlation innovations. Effectively, this allows a part of the update of each individual correlation to parsimoniously depend on the information contained in all asset return pairs. In contrast to existing approaches, such as the Dynamic EquiCOrrelation (DECO) model,…
Slow Expectation–Maximization Convergence in Low‐Noise Dynamic Factor Models
This paper addresses the slow convergence of the expectation–maximization (EM) algorithm in the estimation of low‐noise dynamic factor models, commonly used in macroeconomic nowcasting and forecasting. We show analytically and in Monte Carlo simulations how the EM algorithm stagnates in a low‐noise environment, leading to inaccurate estimates of factor loadings and factor realizations. An adaptive version of EM considerably speeds up convergence,…
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
We develop new multi-factor dynamic copula models with time-varying factor loadings and observation-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure positivity of covariance and correlation matrices. A closed-form likelihood expression allows for straightforward parameter estimation and likelihood inference. We apply the new model to a large panel of 100 U.S. stocks over the period 2001–2014. The propos…
The loupe
No abstract available
Demo hour
Over four years, meSch produced over a dozen demos: small experiments focused on a specific technology or place; interactive stations designed as part of large exhibitions open to the public; and tangible interaction and data souvenirs that bridge the physical-digital divide. The four projects presented here offer a sample of visitor experiences we created, deployed, and evaluated. Daniela Petrelli, Director of the meSch project
New Heavy Models for Fat-Tailed Realized Covariances and Returns
We develop a new score-driven model for the joint dynamics of fat-tailed realized covariance matrix observations and daily returns. The score dynamics for the unobserved true covariance matrix are robust to outliers and incidental large observations in both types of data by assuming a matrix-F distribution for the realized covariance measures and a multivariate Student's t distribution for the daily returns. The filter for the unknown covariance …
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
This article considers the extent to which the federal (fed) funds futures market prepares for Federal Open Market Committee (FOMC) announcements. We demonstrate that there is often less variation in fed funds futures prices during the period immediately preceding an FOMC announcement than in earlier periods, despite greater trading activity, as the market has already incorporated anticipated signals. We find that macro announcements and central …
Structural Breaks in the International Dynamics of Inflation
This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks. Structural breaks in short-term cross-country inflation relations are then examined for major G-7 economies and within the euro area. There is evidence that …
Integrating material and digital
research-article Share on Integrating material and digital: a new way for cultural heritage Authors: Daniela Petrelli Sheffield Hallam University Sheffield Hallam UniversityView Profile , Luigina Ciolfi Sheffield Hallam University Sheffield Hallam UniversityView Profile , Dick van Dijk Waag Society Waag SocietyView Profile , Eva Hornecker University of Strathclyde University of StrathclydeView Profile , Elena Not FBK, Italy FBK, ItalyView Profile…
Do Leading Indicators Lead Peaks More Than Troughs
We develop a novel Markov switching vector autoregressive model to investigate the possibility that leading indicators have different lead times at business cycle peaks and at troughs. In this model, coincident and leading indicators share a common Markov state process, but their cycles are nonsynchronous, with the nonsynchronicity varying across regimes. An application shows that on average the Conference Board’s Composite Leading Index leads th…
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
This article provides new evidence on the rationality of early releases of industrial production (IP) and producer price index (PPI) data. Rather than following the usual practice of examining only first available and fully revised data, we examine the entire revision history for each variable. Thus we are able to assess, for example, whether earlier releases of data are in any sense “less” rational than later releases, and when data become ratio…
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method
Testing for Volatility Changes in U.S. Macroeconomic Time Series
We test for a change in the volatility of 214 U.S. macroeconomic time series over the period 1959–1999. We find that approximately 80% of these series have experienced a break in unconditional volatility during this period. Even though more than half of the series experienced a break in conditional mean, most of the reduction in volatility appears to be due to changes in conditional volatility. Our results are robust to controlling for business c…
Time-Varying Smooth Transition Autoregressive Models
Nonlinear regime-switching behavior and structural change are often perceived as competing alternatives to linearity. In this article we study the so-called time-varying smooth transition autoregressive (TV-STAR) model, which can be used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features. Two modeling strategies for empirical specification of TV-STAR models are developed. Monte Carlo …
Testing for Smooth Transition Nonlinearity in the Presence of Outliers
Regime-switching models, like the smooth transition autoregressive [STAR] model, are typically applied to time series of moderate length. Hence, the nonlinear features that these models intend to describe may be reflected in only a few observations. Conversely, neglected outliers in a linear time series of moderate length may incorrectly suggest STAR (or other) type(s of) nonlinearity. In this article we propose outlier robust tests for STAR-type…
Timing of Vote Decision in First and Second Order Dutch Elections 1978–1995
A time series (t= 921) of weekly survey data on vote intentions in the Netherlands for the period 1978–1995 shows that the percentage of undecided voters follows a cyclical pattern over the election calendar. The otherwise substantial percentage of undecided voters decreases sharply in weeks leading up to an election and gradually increases afterwards. This article models the dynamics of this asymmetric electoral cycle using artificial neural net…
Children's Road Behaviour and Personality
S ummary . 198 children age 5 to 10, from two schools, were filmed on seven days out of a period of two weeks, as they crossed the road at particular sites at the end of each school day. Their behaviour on approaching and crossing the road was analysed from the films and they were classified accordingly into three behaviour groups. Most of the children over 7 years old then completed ESPQ and CPQ personality questionnaires in school. The three be…
Timing of Vote Decision in First and Second Order Dutch Elections 1978–1995
A time series (t= 921) of weekly survey data on vote intentions in the Netherlands for the period 1978–1995 shows that the percentage of undecided voters follows a cyclical pattern over the election calendar. The otherwise substantial percentage of undecided voters decreases sharply in weeks leading up to an election and gradually increases afterwards. This article models the dynamics of this asymmetric electoral cycle using artificial neural net…
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method
Children's Road Behaviour and Personality
S ummary . 198 children age 5 to 10, from two schools, were filmed on seven days out of a period of two weeks, as they crossed the road at particular sites at the end of each school day. Their behaviour on approaching and crossing the road was analysed from the films and they were classified accordingly into three behaviour groups. Most of the children over 7 years old then completed ESPQ and CPQ personality questionnaires in school. The three be…
Timing of Vote Decision in First and Second Order Dutch Elections 1978–1995
A time series (t= 921) of weekly survey data on vote intentions in the Netherlands for the period 1978–1995 shows that the percentage of undecided voters follows a cyclical pattern over the election calendar. The otherwise substantial percentage of undecided voters decreases sharply in weeks leading up to an election and gradually increases afterwards. This article models the dynamics of this asymmetric electoral cycle using artificial neural net…
Testing for Smooth Transition Nonlinearity in the Presence of Outliers
Regime-switching models, like the smooth transition autoregressive [STAR] model, are typically applied to time series of moderate length. Hence, the nonlinear features that these models intend to describe may be reflected in only a few observations. Conversely, neglected outliers in a linear time series of moderate length may incorrectly suggest STAR (or other) type(s of) nonlinearity. In this article we propose outlier robust tests for STAR-type…
Time-Varying Smooth Transition Autoregressive Models
Nonlinear regime-switching behavior and structural change are often perceived as competing alternatives to linearity. In this article we study the so-called time-varying smooth transition autoregressive (TV-STAR) model, which can be used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features. Two modeling strategies for empirical specification of TV-STAR models are developed. Monte Carlo …
Testing for Volatility Changes in U.S. Macroeconomic Time Series
We test for a change in the volatility of 214 U.S. macroeconomic time series over the period 1959–1999. We find that approximately 80% of these series have experienced a break in unconditional volatility during this period. Even though more than half of the series experienced a break in conditional mean, most of the reduction in volatility appears to be due to changes in conditional volatility. Our results are robust to controlling for business c…
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
This article provides new evidence on the rationality of early releases of industrial production (IP) and producer price index (PPI) data. Rather than following the usual practice of examining only first available and fully revised data, we examine the entire revision history for each variable. Thus we are able to assess, for example, whether earlier releases of data are in any sense “less” rational than later releases, and when data become ratio…
Do Leading Indicators Lead Peaks More Than Troughs
We develop a novel Markov switching vector autoregressive model to investigate the possibility that leading indicators have different lead times at business cycle peaks and at troughs. In this model, coincident and leading indicators share a common Markov state process, but their cycles are nonsynchronous, with the nonsynchronicity varying across regimes. An application shows that on average the Conference Board’s Composite Leading Index leads th…
Structural Breaks in the International Dynamics of Inflation
This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks. Structural breaks in short-term cross-country inflation relations are then examined for major G-7 economies and within the euro area. There is evidence that …
Integrating material and digital
research-article Share on Integrating material and digital: a new way for cultural heritage Authors: Daniela Petrelli Sheffield Hallam University Sheffield Hallam UniversityView Profile , Luigina Ciolfi Sheffield Hallam University Sheffield Hallam UniversityView Profile , Dick van Dijk Waag Society Waag SocietyView Profile , Eva Hornecker University of Strathclyde University of StrathclydeView Profile , Elena Not FBK, Italy FBK, ItalyView Profile…
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
This article considers the extent to which the federal (fed) funds futures market prepares for Federal Open Market Committee (FOMC) announcements. We demonstrate that there is often less variation in fed funds futures prices during the period immediately preceding an FOMC announcement than in earlier periods, despite greater trading activity, as the market has already incorporated anticipated signals. We find that macro announcements and central …
New Heavy Models for Fat-Tailed Realized Covariances and Returns
We develop a new score-driven model for the joint dynamics of fat-tailed realized covariance matrix observations and daily returns. The score dynamics for the unobserved true covariance matrix are robust to outliers and incidental large observations in both types of data by assuming a matrix-F distribution for the realized covariance measures and a multivariate Student's t distribution for the daily returns. The filter for the unknown covariance …
The loupe
No abstract available
Demo hour
Over four years, meSch produced over a dozen demos: small experiments focused on a specific technology or place; interactive stations designed as part of large exhibitions open to the public; and tangible interaction and data souvenirs that bridge the physical-digital divide. The four projects presented here offer a sample of visitor experiences we created, deployed, and evaluated. Daniela Petrelli, Director of the meSch project
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
We develop new multi-factor dynamic copula models with time-varying factor loadings and observation-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure positivity of covariance and correlation matrices. A closed-form likelihood expression allows for straightforward parameter estimation and likelihood inference. We apply the new model to a large panel of 100 U.S. stocks over the period 2001–2014. The propos…
Slow Expectation–Maximization Convergence in Low‐Noise Dynamic Factor Models
This paper addresses the slow convergence of the expectation–maximization (EM) algorithm in the estimation of low‐noise dynamic factor models, commonly used in macroeconomic nowcasting and forecasting. We show analytically and in Monte Carlo simulations how the EM algorithm stagnates in a low‐noise environment, leading to inaccurate estimates of factor loadings and factor realizations. An adaptive version of EM considerably speeds up convergence,…
Dynamic Conditional Correlations with Partial Information Pooling
We propose a novel Dynamic Conditional Correlation model with Conditional Linear Information Pooling (CLIP-DCC) which endogenously determines an optimal degree of commonality in the correlation innovations. Effectively, this allows a part of the update of each individual correlation to parsimoniously depend on the information contained in all asset return pairs. In contrast to existing approaches, such as the Dynamic EquiCOrrelation (DECO) model,…
Computer Science (11 works) · Econometrics (11 works) · Economics (10 works) · Mathematics (10 works) · Market Dynamics and Volatility (9 works) · Monetary Policy and Economic Impact (9 works) · Statistics (5 works) · Complex Systems and Time Series Analysis (4 works) · Financial Risk and Volatility Modeling (4 works) · Macroeconomics (4 works)