Anne Opschoor

Vrije Universiteit Amsterdam

Ph.D

De Boelelaan 1105

Amsterdam, NL 1081 HV

Netherlands

  • Vrije Universiteit Amsterdam

SCHOLARLY PAPERS

16

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54

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10

Scholarly Papers (16)

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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
Anne Opschoor, Nicholas Taylor, Michel van der Wel and Dick J. C. van Dijk
Vrije Universiteit Amsterdam, University of Bristol Business School, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 351 (165,112)
Citation 6

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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
Anne Opschoor, Dick J. C. van Dijk and Michel van der Wel
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 317 (184,137)
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
Anne Opschoor, Dick J. C. van Dijk and Michel van der Wel
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 300 (195,275)
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
Erik Kole, Thijs D. Markwat, Anne Opschoor and Dick J. C. van Dijk
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 247 (237,617)
Citation 5

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

5.

Heterogeneity and Dynamics in Spatial Network Models

Tinbergen Institute Discussion Paper 2021-085/III
Number of pages: 45 Posted: 18 Nov 2021 Last Revised: 21 Sep 2022
Enzo D'Innocenzo, Andre Lucas, Anne Opschoor and Xingmin Zhang
VU University Amsterdam, Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam and Southwestern University of Finance and Economics
Downloads 179 (320,638)

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

6.

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
Francisco Blasques, Francisco Blasques, Andre Lucas, Anne Opschoor and Luca Rossini
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam and University of Milan
Downloads 149 (375,014)
Citation 3

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

7.

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 and Vrije Universiteit Amsterdam
Downloads 136 (402,917)
Citation 15

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

8.

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

Downloads 134 (407,705)

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
Nalan Basturk, Stefano Grassi, Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 86 (563,967)

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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
Nalan Basturk, Stefano Grassi, Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 48 (766,461)

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

9.

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
Nalan Basturk, Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 130 (417,448)
Citation 3

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

10.

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 and Vrije Universiteit Amsterdam
Downloads 115 (458,117)
Citation 8

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

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
Downloads 110 (473,423)

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

12.

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
Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 96 (520,314)
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

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
Anne Opschoor, Andre Lucas, Istvan Barra and Dick J. C. van Dijk
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam, VU University Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 91 (538,520)
Citation 2

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

14.

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
Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 90 (542,248)
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

15.

Time-varying variance and skewness in realized volatility measures

Tinbergen Institute Discussion Paper 2019-051/IV
Number of pages: 33 Posted: 05 Aug 2019 Last Revised: 01 Mar 2022
Anne Opschoor and Andre Lucas
Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam
Downloads 80 (582,288)

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

16.

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
Andre Lucas, Anne Opschoor, Julia Schaumburg and Julia Schaumburg
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam and VU University AmsterdamTinbergen Institute
Downloads 50 (736,276)
Citation 4

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