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1

Forecasting Value-at-Risk under Temporal and Portfolio Aggregation*

Kole, Erik, Markwat, Thijs, Opschoor, Anne, van Dijk, Dick

Journal:

Journal of Financial Econometrics

Year:

2017

Language:

english

File:

PDF, 349 KB

english, 2017

2

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

Lennart Hoogerheide, Anne Opschoor, Herman K. van Dijk

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 1.31 MB

english, 2012

3

Order flow and volatility: An empirical investigation

Opschoor, Anne, Taylor, Nick, van der Wel, Michel, van Dijk, Dick

Journal:

Journal of Empirical Finance

Year:

2014

Language:

english

File:

PDF, 449 KB

english, 2014

4

Predicting volatility and correlations with Financial Conditions Indexes

Opschoor, Anne, van Dijk, Dick, van der Wel, Michel

Journal:

Journal of Empirical Finance

Year:

2014

Language:

english

File:

PDF, 448 KB

english, 2014

5

New HEAVY Models for Fat-Tailed Realized Covariances and Returns

Opschoor, Anne, Janus, Pawel, Lucas, André, van Dijk, Dick

Journal:

Journal of Business and Economic Statistics

Year:

2016

Language:

english

File:

PDF, 421 KB

english, 2016

6

Accounting for missing values in score-driven time-varying parameter models

Lucas, André, Opschoor, Anne, Schaumburg, Julia

Journal:

Economics Letters

Year:

2016

Language:

english

File:

PDF, 410 KB

english, 2016

7

Combining density forecasts using focused scoring rules

Opschoor, Anne, van Dijk, Dick, van der Wel, Michel

Journal:

Journal of Applied Econometrics

Year:

2017

Language:

english

File:

PDF, 1.62 MB

english, 2017

8

Dynamic discrete copula models for high-frequency stock price changes

Koopman, Siem Jan, Lit, Rutger, Lucas, André, Opschoor, Anne

Journal:

Journal of Applied Econometrics

Year:

2018

Language:

english

File:

PDF, 3.11 MB

english, 2018

9

Predicting Covariance Matrices with Financial Conditions Indexes

Opschoor, Anne, van Dijk, Dick J. C., van der Wel, Michel

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 410 KB

english, 2013

10

Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities

Opschoor, Anne, van Dijk, Dick J. C., van der Wel, Michel

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1.01 MB

english, 2014

11

Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation

Kole, Erik, Markwat, Thijs D., Opschoor, Anne, van Dijk, Dick J. C.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 553 KB

english, 2015

12

On the Effects of Private Information on Volatility

Opschoor, Anne, van der Wel, Michel, van Dijk, Dick J. C., Taylor, Nicholas

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 314 KB

english, 2012

13

A Class of Adaptive EM-Based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation

Hoogerheide, Lennart F., Opschoor, Anne, van Dijk, H. K.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 1.30 MB

english, 2011

14

Fractional Integration and Fat Tails for Realized Covariance Kernels*

Opschoor, Anne, Lucas, André

Journal:

Journal of Financial Econometrics

Year:

2019

Language:

english

File:

PDF, 800 KB

english, 2019

15

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

Opschoor, Anne, Lucas, AndrÃ©, Barra, IstvÃ¡n, van Dijk, Dick

Journal:

Journal of Business and Economic Statistics

Year:

2020

File:

PDF, 1015 KB

2020

16

Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting

Opschoor, Anne, Lucas, AndrÃ©

Journal:

International Journal of Forecasting

Year:

2020

File:

PDF, 879 KB

2020

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