Anne Opschoor

Vrije Universiteit Amsterdam

Ph.D

De Boelelaan 1105

Amsterdam, NL 1081 HV

Netherlands

SCHOLARLY PAPERS

16

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1,722

SSRN CITATIONS
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Top 21,622

in Total Papers Citations

38

CROSSREF CITATIONS

9

Scholarly Papers (16)

1.

Order Flow and Volatility: An Empirical Investigation

Journal of Empirical Finance, Vol. 28, 2014, Tinbergen Institute Discussion Paper No. 2011-077/4
Number of pages: 40 Posted: 23 May 2011 Last Revised: 16 Dec 2016
Vrije Universiteit Amsterdam, University of Bristol - School of Economics, Finance and Management, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 314 (122,255)
Citation 4

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Information, order flow, macroeconomic announcements, treasury futures

2.

Predicting Volatility and Correlations with Financial Conditions Indexes

Journal of Empirical Finance, Vol. 29, 2014, Tinbergen Institute Discussion Paper 13-113/III
Number of pages: 26 Posted: 10 Aug 2013 Last Revised: 17 Dec 2016
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 275 (140,560)
Citation 1

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Dynamic correlations, Volatility modeling, Financial Conditions Indexes, Bank holding companies

3.

Combining Density Forecasts using Focused Scoring Rules

Tinbergen Institute Discussion Paper 14-090/III
Number of pages: 35 Posted: 22 Jul 2014 Last Revised: 14 Jan 2017
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 274 (141,068)
Citation 5

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Density forecast evaluation, Volatility modeling, Censored likelihood, Value-at-Risk

4.

Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation

Tinbergen Institute Discussion Paper 15-140/III
Number of pages: 91 Posted: 06 Jan 2016 Last Revised: 25 Apr 2017
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Robeco Asset Management, Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 209 (183,654)
Citation 2

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forecast evaluation, aggregation, Value-at-Risk, model comparison

5.

The R Package Mitlsem: Mixture of Student-T Distributions Using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Tinbergen Institute Discussion Paper TI 12-096/III
Number of pages: 32 Posted: 22 Sep 2012
Maastricht University - Department of Quantitative Economics, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 105 (319,264)
Citation 3

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finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference, R software

6.

New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels

Tinbergen Institute Discussion Paper 14-073/IV
Number of pages: 31 Posted: 24 Jun 2014
Pawel Janus, Andre Lucas and Anne Opschoor
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 101 (327,527)
Citation 15

Abstract:

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realized covariance matrices, heavy tails, (degenerate) matrix-F distribution, generalized autoregressive score (GAS) dynamics

7.

Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

Tinbergen Institute Discussion Paper 16-069/IV
Number of pages: 38 Posted: 03 Sep 2016 Last Revised: 08 Jul 2017
Andre Lucas and Anne Opschoor
Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 80 (378,634)
Citation 4

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multivariate volatility, fractional integration, realized covariance matrices, heavy tails, matrix-F distribution, score dynamics

The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Tinbergen Institute Discussion Paper 15-042/III
Number of pages: 43 Posted: 31 Mar 2015 Last Revised: 08 Jul 2017
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 57 (459,586)

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finite mixtures, Student-t densities, importance sampling, MCMC, Metropolis-Hastings algorithm, expectation maximization, Bayesian inference, R-software

The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference

Norges Bank Working Paper 10/2017
Number of pages: 43 Posted: 19 Jul 2017
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 20 (664,024)

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finite mixtures, Student-t densities, importance sampling, MCMC, MetropolisHastings algorithm, expectation maximization, Bayesian inference, R software

9.

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

Tinbergen Institute Discussion Paper No. 2011-004/4
Number of pages: 53 Posted: 10 Jan 2011
VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 72 (401,862)
Citation 6

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Mixture of Student-T Distributions, Importance Sampling, Kullback-Leibler Divergence, Expectation Maximization, Metropolis-Hastings Algorithm, Predictive Likelihoods, Mixture GARCH Models, Value at Risk

10.

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

Tinbergen Institute Discussion Paper No. 12-026/4
Number of pages: 37 Posted: 25 Mar 2012
VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 68 (414,369)
Citation 2

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mixture of Student-t distributions, importance sampling, Kullback-Leibler divergence, Expectation Maximization, Metropolis-Hastings algorithm, predictive likelihood, DCC GARCH, mixture GARCH, instrumental variables

11.

Observation-driven Models for Realized Variances and Overnight Returns

Tinbergen Institute Discussion Paper 2019-052/IV
Number of pages: 30 Posted: 05 Aug 2019
Anne Opschoor and Andre Lucas
Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 49 (483,945)

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overnight volatility, realized variance, F distribution, score-driven dynamics

12.

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution

Tinbergen Institute Discussion Paper 2021-010/III
Number of pages: 38 Posted: 13 Mar 2021
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and University of Milan
Downloads 34 (554,784)

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Matrix Distributions, Tail Heterogeneity, (inverse) Riesz Distribution, Fat-Tails, Realized Covariance Matrices

13.

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

Tinbergen Institute Discussion Paper 2019-013/IV
Number of pages: 61 Posted: 05 Nov 2019
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 26 (601,566)
Citation 2

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factor copulas, factor structure, score-driven dynamics, multivariate density forecast

14.

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Tinbergen Institute Discussion Paper 16-067/IV
Number of pages: 7 Posted: 31 Aug 2016
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and VU University AmsterdamTinbergen Institute
Downloads 25 (608,160)
Citation 4

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generalized autoregressive score models, missing completely at random, Expectation-Maximization

15.

Time-Varying Tail Behavior for Realized Kernels

Tinbergen Institute Discussion Paper 2019-051/IV
Number of pages: 27 Posted: 05 Aug 2019
Anne Opschoor and Andre Lucas
Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 7 (741,806)

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realized kernel, heavy tails, F distribution, time-varying shape-parameter, Vol-of-Vol, score-driven dynamics

16.

The Importance of Heterogeneity in Dynamic Network Models Applied to European Systemic Risk

Tinbergen Institute Discussion Paper 2021-085/III
Number of pages: 39
Xingmin Zhang, Anne Opschoor and Andre Lucas
affiliation not provided to SSRN, Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 6

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dynamic networks, spatial auto-regressions, heterogeneous spatial contagion, network heterogeneity, sovereign risk dynamics