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Publications by Dick J. C. van Dijk
The Public and Private Information Sources of Volatility
SSRN Electronic Journal
Intraday Price Discovery in Fragmented Markets
SSRN Electronic Journal
Dynamic Factor Models for the Volatility Surface
SSRN Electronic Journal
Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model
SSRN Electronic Journal
Why Do Pit-Hours Outlive the Pit?
SSRN Electronic Journal
Bayesian Model Averaging in the Presence of Structural Breaks
SSRN Electronic Journal
