Biography
Herman K. van Dijk is a professor of econometrics and holds a Personal Chair at Erasmus School of Economics (ESE).
Herman K. van Dijk is director of the Tinbergen Institute. He is listed in the Econometricians Hall of Fame by the Journal Econometric Theory as one of the top ten econometricians in Europe.
His research interests lie in the area of Bayesian inference using simulation techniques, time series econometrics, neural networks, and income distributions.
He is the author of more than 120 international scientific journal papers and reports and a number of books. An honorary fellow of the Tinbergen Institute, he serves on the editorial board of the major journals in econometrics.
Professor van Dijk is the former director of the Econometric Institute. He has extensive experience as managing, co-managing and coordinating research initiatives and conferences.
He has been a visiting fellow and visiting professor at Cambridge University in the UK, the Catholic University of Louvain in Belgium, Harvard University in the US, Duke University in the UK, Cornell University in the UK, and the University of New South Wales in Australia.
He received the Savage Prize for his PhD dissertation.
Erasmus School of Economics
- hkvandijk@ese.eur.nl
More information
Work
- A Zellner, T Ando, Nalan Basturk, LF Hoogerheide & Herman van Dijk (2014) - Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo - Econometric Reviews, 33 (1-4), 3-35 - doi: 10.1080/07474938.2013.807094 - [link]
- EJ Kontoghiorghes, Herman van Dijk, D Belsley, T Bollerslev, FX Diebold, JM Dufour, R Engle, AC Harvey, SJ Koopman, MH Pesaran, PCB Philips, R Smith, M West, Q Yao, A Amendola, M Billio, CWS Chen, C Chiarella, A Colubi, M Deistler, C Francq, M Hallin, E Jacquier, K Judd, G Koop, H Lutkepol, JG Mackinnon, S Mittnik, Y Omori, I Pollock, T Proietti, JVK Rombouts, O Scaillet, W Semmler, MKP So, J Steel, RN Taylor, E Tzavalis, JM Zakoian, HP Boswijk, A Luati & J Maheu (2014) - CFEnetwork: The Annals of computational and financial econometrics: 2nd issue - Computational Statistics & Data Analysis, 76, 1-3 - doi: 10.1016/j.csda.2014.04.006 - [link]
- Nalan Basturk, C (Cem) Cakmakli, Pinar Ceyhan & Herman van Dijk (2014) - Posterior-predictive evidence on US inflation using extended New Keynesian Phillips Curve models with non-filtered data - Journal of Applied Econometrics, 29 (7), 1164-1182 - doi: 10.1002/jae.2411 - [link]
- A Timmerman & Herman van Dijk (2013) - Dynamic econometric modeling and forecasting in the presence of instability - Journal of Econometrics, 177 (2), 131-133 - doi: 10.1016/j.jeconom.2013.04.001 - [link]
- RW Strachan & Herman van Dijk (2013) - Evidence on features of a dsge business cycle model from bayesian model averaging - International Economic Review, 54 (1), 385-402 - doi: 10.1111/j.1468-2354.2012.00737.x - [link]
- M Bilio, R Casarin, F Ravazzolo & Herman van Dijk (2013) - Time-varying combinations of predictive densities using nonlinear filtering - Journal of Econometrics, 177 (2), 213-232 - doi: 10.1016/j.jeconom.2013.04.009 - [link]
- LF Hoogerheide, A (Anne) Opschoor & Herman van Dijk (2012) - A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
- M Billio, R Casarin, F Ravazzolo & Herman van Dijk (2012) - Combination schemes for turning point predictions - Quarterly Review of Economics and Finance, 52 (4), 402-412 - doi: 10.1016/j.qref.2012.08.002 - [link]
- LF Hoogerheide, F Ravazzolo & Herman van Dijk (2012) - Forecast rationality tests based on multi-horizon bounds: Comment - Journal of Business and Economic Statistics, 30 (1), 30-33 - doi: 10.1080/07350015.2012.634348 - [link]
- LF Hoogerheide, RH Kleijn, F Ravazzolo, Herman van Dijk & Marno Verbeek (2010) - Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights
- Philip Hans Franses & Herman Dijk (2007) - Journal of Econometrics (Journal) (Editor)
Activiteit: Publication Peer-review › Academic - Herman Dijk (2001) - Journal of Econometrics (Journal) (Editor)
Activiteit: Editorial work › Academic - Herman Dijk (2000) - Computational Economics (Journal) (Editor)
Activiteit: Editorial work › Academic - Herman Dijk (2000) - Econometric Reviews (Journal) (Editor)
Activiteit: Editorial work › Academic - Herman Dijk (2000) - Journal of Applied Econometrics (Journal) (Editor)
Activiteit: Editorial work › Academic