Herman van Dijk: A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods.

A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets.  Given the representation of the probability model in extended nonlinear state-space form, efficient simulation-based Bayesian inference is proposed using parallel dynamic clustering as well as nonlinear filtering, implemented on graphics processing units. The approach is applied to combine predictive densities based on a large number of individual US stock returns of daily observations over a period that includes the Covid-19 crisis period.  Evidence on dynamic cluster composition, weight patterns and model set incompleteness gives valuable signals for improved modelling. This enables higher predictive accuracy and better assessment of uncertainty and risk for investment fund management.

Van Dijk received his BA in Economics in 1967 and his Doctorandus degree in Economics in 1969 both at the University of Groningen. He went to the States, where he received his MA in Economics in 1972 from the State University of New York at Buffalo. Back in The Netherlands he received his PhD in Econometrics in 1984 from the Erasmus University Rotterdam[1] under the supervision of Teun Kloek for the thesis "Posterior analysis of econometric models using Monte Carlo integration."

After graduation Van Dijk started his academic career as Assistant Professor at the Econometric Institute at the Erasmus University Rotterdam, were in 1994 he is appointed Professor of Econometrics at the Econometric Institute. From 1992 to 1998 he was first Director of the Tinbergen Institute, and later from 2008 to 2010. From 1998 to 2003 he was Director of the Econometric Institute as successor of Ton Vorst, and succeeded by Philip Hans Franses.

Van Dijk has been Visiting Professor at Cambridge University, the Catholic University of Louvain, Harvard University, Duke University, Cornell University, and the University of New South Wales. He has been referent, editor and on the editorial board of journals and other publications in the field of econometrics. And he has chaired and co-chaired many conferences in the field.

In 1984 Van Dijk was awarded for his PhD dissertation The Savage Award by the International Society for Bayesian Analysis. He has been listed among the top ten European econometricians and is elected Fellow at the International Society of Bayesian Analysis; Fellow at the Rimini Center for Economic Analysis; Fellow of Journal of Econometrics in 2001, and Honorary Fellow of the Tinbergen Institute in 2005.

Published May 9, 2023 11:43 AM - Last modified May 9, 2023 11:43 AM