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Anne Opschoor

Observed names: Opschoor, A., Opschoor, Anne, Opschoor, Anne; id_orcid 0000-0002-2908-2260
ORCID: 0000-0002-2908-2260
Observed ORCID: 0000-0002-2908-2260
OpenAlex ID: A5041348567
Time Series Models for Business and Economic Forecasting
2014 · Philip Hans Franses, Dick van Dijk, et al. · Cambridge University Press eBooks · 91
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
2016 · Anne Opschoor, Pawel Janus, et al. · Journal of Business and Economic Statistics · 83
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A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
2012 · Lennart Hoogerheide, Anne Opschoor, et al. · Journal of Econometrics · 69
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Dynamic discrete copula models for high‐frequency stock price changes
2018 · Siem Jan Koopman, Rutger Lit, et al. · Journal of Applied Econometrics · 43
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Combining density forecasts using focused scoring rules
2017 · Anne Opschoor, Dick van Dijk, et al. · Journal of Applied Econometrics · 41
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Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
2020 · Anne Opschoor, André Lucas, et al. · Journal of Business and Economic Statistics · 40
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Predicting volatility and correlations with Financial Conditions Indexes
2014 · Anne Opschoor, Dick van Dijk, et al. · Journal of Empirical Finance · 25
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation*
2017 · Erik Kole, Thijs Markwat, et al. · Journal of Financial Econometrics · 21
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On the Effects of Private Information on Volatility
2012 · Anne Opschoor, Nick Taylor, et al. · Journal of Empirical Finance · 17
Fractional Integration and Fat Tails for Realized Covariance Kernels*
2018 · Anne Opschoor, André Lucas · Journal of Financial Econometrics · 14
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Time Series Models for Business and Economic Forecasting, 2nd Edition
2014 · Philip Hans Franses, Dick van Dijk, et al. · Data Archiving and Networked Services (DANS) · 11
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
2014 · Pawel Janus, Andre Lucas, et al. · SSRN Electronic Journal · 10
Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting
2020 · Anne Opschoor, André Lucas · International Journal of Forecasting · 9
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Understanding Financial Market Volatility
2009 · Anne Opschoor · EUR Research Repository (Erasmus University Rotterdam) · 9
Time-varying variance and skewness in realized volatility measures
2022 · Anne Opschoor, André Lucas · International Journal of Forecasting · 8
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Heterogeneity and dynamics in network models
2023 · Enzo D'Innocenzo, André Lucas, et al. · Journal of Applied Econometrics · 7
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Accounting for missing values in score-driven time-varying parameter models
2016 · André Lucas, Anne Opschoor, et al. · Economics Letters · 7
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Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
2016 · Andre Lucas, Anne Opschoor · SSRN Electronic Journal · 7
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution
· Andre Lucas, Anne Opschoor, et al. · RePEc: Research Papers in Economics · 7
The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
2017 · Nalan Baştürk, Stefano Grassi, et al. · Journal of Statistical Software · 6
The R Package Mitlsem: Mixture of Student-T Distributions Using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
2012 · Nalan Basturk, Lennart F. Hoogerheide, et al. · SSRN Electronic Journal · 6
Improving Density Forecasts and Value-at- \nRisk Estimates by Combining Densities
2014 · Opschoor, Anne, Dijk, Dick, et al. · RePub (Erasmus University Rotterdam) · 5
Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment
2026 · Laura Capera Romero, Anne Opschoor · Journal of Applied Econometrics · 2
The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices
2024 · Anne Opschoor, André Lucas, et al. · Journal of Financial Econometrics · 2
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
2019 · Anne Opschoor, Andre Lucas, et al. · SSRN Electronic Journal · 2
Works count: 59
Citation count: 550
H-index: 11
I10-index: 12
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