Biography
Anne Opschoor is as a PhD-student affiliated to the Erasmus School of Economics, department of Econometrics, and the Tinbergen Institute, since 2009. His research project is titled: "Understanding Financial Market Volatility''. His supervisors are professor D. Van Dijk and dr. M. van der Wel. Beyond working at this research topic, Anne also does research in Bayesian Econometrics with dr. L. Hoogerheide and professor H.K. van Dijk. Anne obtained his Bachelor's and Master's degree from Erasmus University Rotterdam, where he studied (financial) econometrics.
Erasmus School of Economics
Visiting fellow | Erasmus School of Economics
- anne.opschoor@ese.eur.nl
- Location
- Burg. Oudlaan 50, Rotterdam
More information
Work
- Anne Opschoor, André Lucas, István Barra & Dick van Dijk (2021) - Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings - Journal of Business and Economic Statistics, 39 (4), 1066-1079 - doi: 10.1080/07350015.2020.1763806 - [link]
- P Janus, A (André) Lucas, A (Anne) Opschoor & Dick van Dijk (2018) - New HEAVY models for fat-tailed realized covariances and returns - Journal of Business and Economic Statistics, 36 (4), 643-657 - doi: 10.1080/07350015.2016.1245622 - [link]
- Erik Kole, TD (Thijs) Markwat, A (Anne) Opschoor & Dick van Dijk (2017) - Forecasting Value-at-Risk under temporal and portfolio aggregation - Journal of Financial Econometrics, 15 (4), 649-677 - doi: 10.1093/jjfinec/nbx019 - [link]
- A (Anne) Opschoor, Dick van Dijk & Michel van der Wel (2017) - Combining density forecasts using focused scoring rules - Journal of Applied Econometrics, 32 (7), 1298-1313 - doi: 10.1002/jae.2575 - [link]
- A (Anne) Opschoor, Dick van Dijk & Michel van der Wel (2015) - Predicting volatility and correlations with financial conditions indexes
- A (Anne) Opschoor (2014) - Understanding Financial Market Volatility - [link]
- A (Anne) Opschoor, Michel van der Wel, Dick van Dijk & N Taylor (2014) - Order Flow and Volatility: An Empirical Investigation - Journal of Empirical Finance, 28, 185-201 - doi: 10.1016/j.jempfin.2014.07.002 - [link]
- A (Anne) Opschoor, N Taylor, Michel van der Wel & Dick van Dijk (2014) - Order Flow and Volatility: An Empirical Investigation
- A (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 - doi: 10.1016/j.jempfin.2014.10.003 - [link]
- Philip Hans Franses, Dick van Dijk & A (Anne) Opschoor (2014) - Time series models for business and economic forecasting, Second revised edition
