Year of Publication | Title | Author(s) |
2011 | A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation | Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. |
2011 | On the Effects of Private Information on Volatility | Opschoor, Anne; van der Wel, Michel; van Dijk, Dick; Taylor, Nick |
2012 | A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation | Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. |
2012 | The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation | Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. |
2013 | Predicting Covariance Matrices with Financial Conditions Indexes | Opschoor, Anne; van Dijk, Dick; van der Wel, Michel |
2014 | Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities | Opschoor, Anne; van Dijk, Dick; van der Wel, Michel |
2014 | New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels | Janus, Pawel; Lucas, André; Opschoor, Anne |
2015 | Forecasting Value-at-Risk under Temporal and Portfolio Aggregation | Kole, Erik; Markwat, Thijs; Opschoor, Anne; van Dijk, Dick |
2015 | The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference | Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. |
2016 | Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns | Lucas, André; Opschoor, Anne |
2016 | Accounting for Missing Values in Score-Driven Time-Varying Parameter Models | Lucas, Andre; Opschoor, Anne; Schaumburg, Julia |
2017 | The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference | Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. |
2019 | Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings | Opschoor, Anne; Lucas, André; Barra, Istvan; van Dijk, Dick |
2019 | Observation-driven Models for Realized Variances and Overnight Returns | Opschoor, Anne; Lucas, André |
2019 | Time-varying tail behavior for realized kernels | Opschoor, Anne; Lucas, André |
2021 | The importance of heterogeneity in dynamic network models applied to European systemic risk | Zhang, Xingmin; Opschoor, Anne; Lucas, André |
2021 | Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution | Blasques, Francisco; Lucas, Andre; Opschoor, Anne; Rossini, Luca |
2024 | Density forecasting for electricity prices under tail heterogeneity with the t-Riesz distribution | Opschoor, Anne; Peerlings, Dewi; Rossini, Luca; Lucas, André |
2024 | Realized variances vs. correlations: Unlocking the gains in multivariate volatility forecasting | Capera Romero, Laura; Opschoor, Anne |