The paper `Fractional Integration and Fat Tails for Realized Covariance Kernels‘
(joint work with Andre Lucas) is now accepted for publication in the Journal of Financial Econometrics
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The paper “Dynamic Discrete Copula Models for High Frequency Stock Price Changes” (joint work with Siem Jan Koopman, Rutger Lit and Andre Lucas) is now accepted for publication in the Journal of Applied Econometrics
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The paper Forecasting Value-at-Risk under Temporal and Portfolio Aggregation (joint work with Erik Kole, Thijs Markwat and Dick van Dijk) is now accepted for publication in the Journal of Financial Econometrics
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The paper Combining Density Forecasts using Focused Scoring Rules (joint work with Dick van Dijk and Michel van der Wel) is now accepted for publication in the Journal of Applied Econometrics
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The paper Accounting for missing values in score-driven time-varying parameter models (joint work with Andre Lucas and Julia Schaumburg) is now accepted for publication in Economics Letters.
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A new entry has appeared in the Research page: Lucas and Opschoor (2016) on multivariate fractional integration.
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The paper New HEAVY models for Fat-Tailed Covariances and Returns (joint work with Pawel Janus, Andre Lucas and Dick van Dijk) is now accepted for publication in the Journal of Business & Economic Statistics (JBES)
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The paper The R package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference (joint work with Nalan Basturk, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk) is now accepted for publication by the Journal of Statistical Software (JSS).
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I won the 2014 Journal of Applied Econometrics Dissertation Prize for my paper
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities, written with Dick van Dijk and Michel van der Wel (both Erasmus University and Tinbergen Institute Fellows). See this link for more information. -
The paper Predicting Volatility and Correlations with Financial Conditions Indexes (joint work with Dick van Dijk and Michel van der Wel) is accepted for publication in the Journal of Empirical Finance.
Anne Opschoor 