Research output per year
Research output per year
Personal profile
Research interests
Anne Opschoor is as a PhD-student affiliated to the Erasmus School of Economics, department of Econometrics, and the Tinbergen Institute, since 2009. His research project is titled: "Understanding Financial Market Volatility''. His supervisors are professor D. Van Dijk and dr. M. van der Wel. Beyond working at this research topic, Anne also does research in Bayesian Econometrics with dr. L. Hoogerheide and professor H.K. van Dijk. Anne obtained his Bachelor's and Master's degree from Erasmus University Rotterdam, where he studied (financial) econometrics.
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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 Access27 Citations (Scopus) -
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 AccessFile63 Citations (Scopus)109 Downloads (Pure) -
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 AccessFile15 Citations (Scopus)114 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 AccessFile31 Citations (Scopus)82 Downloads (Pure) -
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