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
PhD Thesis
My PhD Thesis (2014)
Anne Opschoor 