Anne Opschoor
Biography
Anne Opschoor is Associate Professor at the Department of Finance at Vrije Universiteit Amsterdam.
Publications
Opschoor, A., Lucas, A. and Rossini, L. (2025). The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices Journal of Financial Econometrics, 23(2):1--29.
D'Innocenzo, E., Lucas, A., Opschoor, A. and Zhang, X. (2024). Heterogeneity and dynamics in network models Journal of Applied Econometrics, 39(1):150--173.
Opschoor, A. and Lucas, A. (2023). Time-varying variance and skewness in realized volatility measures International Journal of Forecasting, 39(2):827--840.
Opschoor, A., Lucas, A., Barra, I. and van Dijk, D. (2021). Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business and Economic Statistics, 39(4):1066--1079.
Opschoor, A. and Lucas, A. (2021). Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting International Journal of Forecasting, 37(2):622--633.
Opschoor, A. and Lucas, A. (2019). Fractional integration and fat tails for realized covariance kernels Journal of Financial Econometrics, 17(1):66--90.
Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985.
Opschoor, A., Janus, P., Lucas, A. and Van Dijk, D. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.
Kole, E., Markwat, T., Opschoor, A. and Van Dijk, D. (2017). Forecasting Value-at-Risk under Temporal and Portfolio Aggregation* Journal of Financial Econometrics, 15(4):649--677.
Opschoor, A., Van Dijk, D. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313.
Lucas, A., Opschoor, A. and Schaumburg, J. (2016). Accounting for Missing Values in Score-Driven Time-Varying Parameter Models Economics Letters, 148:96--98.
Opschoor, A., Taylor, N., van der Wel, M. and van Dijk, D. (2014). Order flow and volatility: An empirical investigation Journal of Empirical Finance, 28(September):185--201.
Opschoor, A., van Dijk, D. and van der Wel, M. (2014). Predicting volatility and correlations with Financial Conditions Indexes Journal of Empirical Finance, 29(13-113/III):435--447.
Hoogerheide, L., Opschoor, A. and van Dijk, H.K. (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation Journal of Econometrics, 171(2):101--120.