Articles with public access mandates - Anne OpschoorLearn more
Available somewhere: 14
New HEAVY models for fat-tailed realized covariances and returns
A Opschoor, P Janus, A Lucas, D Van Dijk
Journal of Business & Economic Statistics 36 (4), 643-657, 2018
Mandates: Netherlands Organisation for Scientific Research
Combining density forecasts using focused scoring rules
A Opschoor, D Van Dijk, M van der Wel
Journal of Applied Econometrics 32 (7), 1298-1313, 2017
Mandates: Danish National Research Foundation, Netherlands Organisation for Scientific …
Dynamic discrete copula models for high‐frequency stock price changes
SJ Koopman, R Lit, A Lucas, A Opschoor
Journal of Applied Econometrics 33 (7), 966-985, 2018
Mandates: Danish National Research Foundation, Netherlands Organisation for Scientific …
The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference
N Basturk, S Grassi, LF Hoogerheide, A Opschoor, HK Van Dijk
Tinbergen Institute Discussion Paper 15-042/III, 2017
Mandates: Netherlands Organisation for Scientific Research
Accounting for missing values in score-driven time-varying parameter models
A Lucas, A Opschoor, J Schaumburg
Economics Letters 148, 96-98, 2016
Mandates: Netherlands Organisation for Scientific Research
Fractional integration and fat tails for realized covariance kernels
A Opschoor, A Lucas
Journal of Financial Econometrics 17 (1), 66-90, 2019
Mandates: US National Science Foundation, Netherlands Organisation for Scientific Research
Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution
F Blasques, A Lucas, A Opschoor, L Rossini
Tinbergen Institute Discussion Paper 2021-010/III, 2021
Mandates: Netherlands Organisation for Scientific Research
Fractional integration and fat tails for realized covariance kernels and returns
A Lucas, A Opschoor
Tinbergen Institute Discussion Paper 16-069/IV, 2017
Mandates: US National Science Foundation, Netherlands Organisation for Scientific Research
Improving density forecasts and value-at-risk estimates by combining densities
A Opschoor, D van Dijk, M van der Wel
Mandates: Danish National Research Foundation
Predicting Covariance Matrices with Financial Conditions Indexes
A Opschoor, D van Dijk, M van der Wel
Tinbergen Institute Discussion Paper, 2013
Mandates: Danish National Research Foundation
Density forecasting for electricity prices under tail heterogeneity with the t-Riesz distribution
A Opschoor, D Peerlings, L Rossini, A Lucas
Tinbergen Institute Discussion Paper, 2024
Mandates: Netherlands Organisation for Scientific Research
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution
A Lucas, A Opschoor, L Rossini
Tinbergen Institute Discussion Papers, 2023
Mandates: Netherlands Organisation for Scientific Research
Heterogeneity and Dynamics in Spatial Network Models
E D'Innocenzo, A Lucas, A Opschoor, X Zhang
Tinbergen Institute Discussion Paper 2021-085/III, 2021
Mandates: National Natural Science Foundation of China, Netherlands Organisation for …
The importance of heterogeneity in dynamic network models applied to European systemic risk
X Zhang, A Opschoor, A Lucas
Tinbergen Institute Discussion Paper, 2021
Mandates: National Natural Science Foundation of China
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