Research output per year
Research output per year
- 7 results
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 Access13 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 AccessFile36 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 AccessFile13 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 AccessFile24 Citations (Scopus)38 Downloads (Pure) -
2014
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
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
16 Citations (Scopus) -
2012
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)