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laatste wijziging: 15-6-2010

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News
Real-time recession probabilities for the US, 1999-2009 (latest update: March 25, 2010)

For the fifth  consecutive month, both the coincident recession probability and the leading recession probability remained constant at 0.0%. Our estimates indicate that the US economy came out of recession in July 2009, with the coincident recession probability dropping from 0.99 to 0.19. The lead time of the Leading Economic Index (LEI) for the recent trough is currently estimated at 3 months, as the leading recession probability declined from 0.62 to 0.06 in April 2009.

The recession probability estimates are based on the bivariate Markov-Switching model for monthly growth rates of the Conference Board's Coincident and Leading Economic Indexes (CEI and LEI) developed in Paap, R., R. Segers, and D. van Dijk (2009), Do leading indicators lead peaks more than troughs?, Journal of Business and Economic Statistics 27, 528-543 [download the article here].

Visit the web-site http://www.businesscycles.us for more information and more detailed analysis.
Personal Data

Full name:	Dick van Dijk
Titles:	Prof. dr.
Affiliation:	Econometric Institute, Erasmus University Rotterdam
Address:	P.O. Box 1738, 3000 DR Rotterdam, The Netherlands
Office:	H11-05
Phone:	(+31) 10 - 40 81263
Fax:	(+31) 10 - 40 89162
Email:	djvandijk@ese.eur.nl
Curriculum Vitae:	My CV can be viewed here

Research

Research interests:

• Nonlinear time series models
• Financial econometrics
• Business cycle modelling
• GARCH and volatility models

• Outlier analysis

Click here for recent working papers. A complete list of publications can be found 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 well-known experts 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.

Teaching
·
FEB23001 - Tijdreeksanalyse
·
FEB23006 - Introduction to Quantitative Finance
·
FEM21007 - Modern Business Cycle Analysis
·
FEM21012 - Financial Econometrics
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FEM21019 - Financial Case-studies

Master Programs in Quantitative Finance and Econometrics - 2009/10The Econometric Institute offers a one-year MSc Program in Econometrics & Management Science, with Master Programs in Econometrics, Quantitative Finance, Quantitative Marketing, and Operations Research and Quantitative Logistics. The entire program is taught in English.
The Master program in Quantitative Finance for 2009/10 is as follows:
Block I (September-October 2009)
FEM21003 Asset Pricing (QF variant)
FEM21011 Financial Derivatives
FEM21012 Financial Econometrics
Block II (November-December 2009)
FEM21004 Quantitative Methods in International Finance and Macroeconomics
FEM21010 Portfolio Management
FEM21034 Quantitative Risk Management

Block III (January - February 2010)
FEM21019 Financial Case Studies

Block IV (March-April 2010)
FEM21032 Advanced Topics in Finance
FEM21030 Master's thesis proposal
FEM21031 Master's thesis
Block V (May-August 2010)
FEM21031 Master's thesis


Management