My research interests include (but are not limited to) financial econometrics, time series econometrics, risk management, volatility modeling, copulas and Bayesian econometrics

Publications

• Laura Capera Romero, Anne Opschoor (2026)
  Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment
  Journal of Applied Econometrics (just accepted)
• Anne Opschoor, Andre Lucas and Luca Rossini (2025)
  The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices
  Journal of Financial Econometrics, 23
• Enzo D’Innocenzo, André Lucas, Anne Opschoor, Xingmin Zhang (2024)
  Heterogeneity and Dynamics in Network Models
  Journal of Applied Econometrics, 39, 150-173
• Anne Opschoor, Andre Lucas (2023)
  Time-varying variance and skewness in realized volatility measures.
  International Journal of Forecasting 39, 827-840
• Anne Opschoor, Andre Lucas (2021)
  Observation-driven Models for Realized Variances and Overnight Returns Applied to Value-at-Risk and Expected Shortfall Forecasting
  International Journal of Forecasting, 37, 622-633
• Anne Opschoor, Andre Lucas, Istvan Barra, Dick van Dijk (2021)
  Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings 
  Journal of Business and Economic Statistics, 39, 1066-1079
• Anne Opschoor, Andre Lucas (2019).
  Fractional Integration and Fat Tails for Realized Covariance Kernels.
  Journal of Financial Econometrics, 17, 66-90
• Siem Jan Koopman, Rutger Lit, Andre Lucas, Anne Opschoor (2018).
  Dynamic Discrete Copula Models for High Frequency Stock Price Changes.
  Journal of Applied Econometrics, 33, 966-985
• Anne Opschoor, Pawel Janus, Andre Lucas, Dick van Dijk (2018).
  New HEAVY Models for Fat-Tailed Covariances and Returns.
  Journal of Business and Economic Statistics 36, 643-657
• Erik Kole, Thijs Markwat, Anne Opschoor, Dick van Dijk (2017).
  Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.
  Journal of Financial Econometrics, 15, 649–677.
• Anne Opschoor, Dick van Dijk, Michel van der Wel (2017).
  Combining Density Forecasts using Focused Scoring Rules.
  Journal of Applied Econometrics 32, 1298–1313.
• Nalan Basturk, Stefano Grassi, Lennart Hoogerheide, Anne Opschoor, Herman van Dijk (2017)
  The R package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
  Journal of Statistical Software 79, 1-39.
• Andre Lucas, Anne Opschoor, Julia Schaumburg (2016).
  Accounting for missing values in score-driven time-varying parameter models.
  Economics Letters, 148, 96-98.
• Anne Opschoor, Dick van Dijk, Michel van der Wel (2014).
  Predicting Volatility and Correlations with Financial Conditions Indexes .
  Journal of Empirical Finance, 29, 435-447.
• Anne Opschoor, Nick Taylor, Michel van der Wel, Dick van Dijk (2014).
  Order flow and volatility: An empirical investigation
  Journal of Empirical Finance, 28, 171-184.
• Lennart Hoogerheide, Anne Opschoor, Herman van Dijk (2012).
  A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation.
  Journal of Econometrics, 171, 101-120.

Book

• Philip Hans Franses, Dick van Dijk, Anne Opschoor (2014).
  Time Series Models for Business and Economic Forecasting (Second Edition)
  Cambridge University Press

Working papers

• Manuel Schick, Anne Opschoor (2026)
  Multivariate Economic Tail Risk and Scenario Analysis using the Survey of Professional Forecasters
• Daan Schoemaker, Andre Lucas, Anne Opschoor (2025)
  Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes
• Anne Opschoor, Dewi Peerlings, Luca Rossini, Andre Lucas (2024)
  Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution