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Tinbergen Institute, Amsterdam and Rotterdam
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Results 1-10 of 17.
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Year of Publication
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2021
The importance of heterogeneity in dynamic network models applied to European systemic risk
Zhang, Xingmin
;
Opschoor, Anne
;
Lucas, André
2016
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Lucas, André
;
Opschoor, Anne
2014
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
Opschoor, Anne
;
van Dijk, Dick
;
van der Wel, Michel
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.
2019
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
Opschoor, Anne
;
Lucas, André
;
Barra, Istvan
;
van Dijk, Dick
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
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.
2016
Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
Lucas, Andre
;
Opschoor, Anne
;
Schaumburg, Julia
Author
7
Lucas, André
5
van Dijk, Dick
4
Hoogerheide, Lennart
4
van Dijk, Herman K.
3
van der Wel, Michel
2
Basturk, Nalan
2
Lucas, Andre
2
Rossini, Luca
1
Barra, Istvan
1
Blasques, Francisco
.
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