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Home | People | Anne Opschoor

Anne Opschoor

Research Fellow

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

List of publications

Opschoor, A., Lucas, A., Barra, I. and van Dijk, D. (2020). Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business and Economic Statistics, :1--14.

Opschoor, A. and Lucas, A. (2020). Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting International Journal of Forecasting, :.

Opschoor, A. and Lucas, A. (2019). Fractional integration and fat tails for realized covariance kernels Journal of Financial Econometrics, 17(1):66--90.

Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985.

Janus, P., Lucas, A., Opschoor, A. and van Dijk, D.J.C. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.

Kole, H.J.W.G., Markwat, T.D., Opschoor, A. and van Dijk, D.J.C. (2017). Forecasting Value-at-Risk under Temporal and Portfolio Aggregation* Journal of Financial Econometrics, 15(4):649--677.

Opschoor, A., van Dijk, D.J.C. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313.

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

Opschoor, A., van der Wel, M., van Dijk, D.J.C. and Taylor, N. (2014). Order Flow and Volatility: An Empirical Investigation Journal of Empirical Finance, 28:185--201.

Opschoor, A., van Dijk, D.J.C. and van der Wel, M. (2014). Predicting Volatility and Correlations with Financial Conditions Indexes Journal of Empirical Finance, 29:435--447.

Hoogerheide, L., Opschoor, A. 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(2):101--120.