dr. A (Anne) Opschoor

Search results

• 2021

  Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings

  Opschoor, A., Lucas, A., Barra, I. & van Dijk, D., 2021, In: Journal of Business and Economic Statistics. 39, 4, p. 1066-1079 14 p.

  Research output: Contribution to journal › Article › Academic › peer-review

  Open Access

  • Dynamic Factor 100%
  • Closed Form 100%
  • Factor Model 100%
  • One Step 50%
  • Observables 50%
  13 Citations (Scopus)
• 2018

  New HEAVY models for fat-tailed realized covariances and returns

  Janus, P., Lucas, A., Opschoor, A. & van Dijk, D., 2018, In: Journal of Business and Economic Statistics. 36, 4, p. 643-657 15 p.

  Research output: Contribution to journal › Article › Academic › peer-review

  Open Access

  File
  36 Citations (Scopus)

  24 Downloads (Pure)
• 2017

  Forecasting Value-at-Risk under temporal and portfolio aggregation

  Kole, E., Markwat, T., Opschoor, A. & van Dijk, D., 1 Aug 2017, In: Journal of Financial Econometrics. 15, 4, p. 649-677 29 p.

  Research output: Contribution to journal › Article › Academic › peer-review

  Open Access

  File
  13 Citations (Scopus)

  74 Downloads (Pure)

• Combining density forecasts using focused scoring rules

  Opschoor, A., van Dijk, D. & van der Wel, M., 2017, In: Journal of Applied Econometrics. 32, 7, p. 1298-1313 16 p.

  Research output: Contribution to journal › Article › Academic › peer-review

  Open Access

  File

  • Value Added 100%
  • Volatility 100%
  • Generalized Autoregressive Conditional Heteroskedasticity 100%
  24 Citations (Scopus)

  38 Downloads (Pure)
• 2015

  Predicting volatility and correlations with financial conditions indexes

  Opschoor, A., van Dijk, D. & van der Wel, M., 2015, EI reprint reeks EI-1634 ed. Rotterdam. 13 p. (EI reprint reeks, Vol. EI-1634).

  Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic
• 2014

  Understanding Financial Market Volatility

  Opschoor, A., 20 Feb 2014, Rotterdam. 172 p.

  Research output: Types of Thesis › Doctoral Thesis › Internal

  • Financial Market 100%
  • Volatility 100%
  • Time Series 11%
  • Financial Crisis 5%
  • Investment 5%

• Order Flow and Volatility: An Empirical Investigation

  Opschoor, A., Taylor, N., van der Wel, M. & van Dijk, D., 2014, EI reprint reeks EI-1622 ed. Rotterdam. (EI reprint reeks, Vol. EI-1622).

  Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic

• Order Flow and Volatility: An Empirical Investigation

  Opschoor, A., van der Wel, M., van Dijk, D. & Taylor, N., 2014, In: Journal of Empirical Finance. 28, p. 185-201 17 p.

  Research output: Contribution to journal › Article › Academic › peer-review

  • New Orders 100%
  • Volatility 100%
  • Liquidity Effect 25%
  • Public Bond 25%
  13 Citations (Scopus)

• Predicting Volatility and Correlations with Financial Conditions Indexes

  Opschoor, A., van Dijk, D. & van der Wel, M., 2014, In: Journal of Empirical Finance. 29, p. 435-447 13 p.

  Research output: Contribution to journal › Article › Academic › peer-review

  • Volatility 100%
  • Capital Market Returns 40%
  • ARCH Model 20%
  16 Citations (Scopus)

• Time series models for business and economic forecasting, Second revised edition

  Franses, P. H., van Dijk, D. & Opschoor, A., 2014, Cambridge: Cambridge University Press.

  Research output: Book/Report/Inaugural speech/Farewell speech › Book › Academic

• Time Series Models for Business and Economics Forecasting

  Franses, P. H., van Dijk, D. & Opschoor, A., 2014, Cambridge: Cambridge University Press. 311 p.

  Research output: Book/Report/Inaugural speech/Farewell speech › Book › Academic
• 2012

  R package MitISEM

  Basturk, N., Hoogerheide, L., Opschoor, A. & van Dijk, H., 18 Sept 2012

  Research output: Non-textual form › Software › Academic

• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

  Hoogerheide, L., Opschoor, A. & van Dijk, H., 2012, In: Journal of Econometrics. 171, 2, p. 101-120 20 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  30 Citations (Scopus)

• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

  Hoogerheide, L., Opschoor, A. & van Dijk, H., 2012, EI reprint serie EI-1578 ed. Rotterdam. 20 p. (EI reprint serie, Vol. EI-1578).

  Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic

• The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

  Basturk, N., Hoogerheide, L., Opschoor, A. & van Dijk, H., 2012, The Netherlands: Tinbergen Institute. (12-098/III).

  Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic
• 2011

  A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation

  Hoogerheide, L., Opschoor, A. & van Dijk, H., 2011, The Netherlands: Tinbergen Institute.

  Research output: Working paper › Academic