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Home | People | Anne Opschoor

Anne Opschoor

Research Fellow

Vrije Universiteit Amsterdam
Research field
TI Finance
Applied Econometrics, Econometrics, Finance, Financial Econometrics, Risk Management

List of publications

A. Opschoor and Andre Lucas. 2019. Fractional Integration and Fat Tails for Realized Covariance Kernels. Journal of Financial Econometrics, 17, 66--90, 1479-8409

Koopman, Siem Jan and Rutger Lit and André Lucas and Anne Opschoor. 2018. Dynamic discrete copula models for high-frequency stock price changes. Journal of Applied Econometrics, 33, 966--985, 0883-7252

Anne Opschoor and Pawel Janus and André Lucas and Van Dijk, Dick. 2018. New HEAVY Models for Fat-Tailed Realized Covariances and Returns. Journal of Business and Economic Statistics, 643--657, 0735-0015

Anne Opschoor and Van Dijk, Dick and van der Wel, Michel. 2017. Combining density forecasts using focused scoring rules. Journal of Applied Econometrics, 32, 1298--1313, 0883-7252

Erik Kole and Thijs Markwat and Anne Opschoor and Van Dijk, Dick. 2017. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation*. Journal of Financial Econometrics, 15, 649--677, 1479-8409

A. Lucas and A. Opschoor and J. Schaumburg. 2016. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models. Economics Letters, 148, 96--98, 0165-1765

A. Opschoor and van Dijk, D. and van der Wel, M.. 2014. Predicting volatility and correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, 435--447, 0927-5398

A. Opschoor and N. Taylor and van der Wel, M. and van Dijk, D.. 2014. Order flow and volatility: An empirical investigation. Journal of Empirical Finance, 28, 185--201, 0927-5398

L.F. Hoogerheide and A. Opschoor and van Dijk, H.K.. 2012. A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation. Journal of Econometrics, 171, 101--120, 0304-4076