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Personal profile

Personal information

I am an Associate Professor at the Department of Finance at Vrije Universiteit Amsterdam. In addition, I am a research fellow at the Tinbergen Institute. Under supervision of Dick van Dijk and Michel van der Wel, I obtain my PhD at the Tinbergen Institute/Econometric Institute at the Erasmus University Rotterdam in February 2014. I hold a master's degree in financial econometrics with honors from Erasmus University Rotterdam.


My research interests include financial econometrics, time series econometrics, risk management, volatility modeling, and copulas. See my personal webpage for a list of publications and working papers.

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). 


I teach various courses at Vrije Universiteit Amsterdam:

  • Empirical Finance (Master Finance Core course)
  • Research Project (Master Finance course)
  • Quantitative Research Methods III (Bachelor Economics and Business Economics)
  • Bachelor's and Master's thesis supervision

Ancillary activities

No ancillary activities

Ancillary activities are updated daily


  • HG Finance
  • HA Statistics

Fingerprint Dive into the research topics where Anne Opschoor is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

equity Social Sciences
weighting Social Sciences
value added Social Sciences
simulation Social Sciences
Covariance matrix Business & Economics
market Social Sciences
Values Social Sciences
bank Social Sciences

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 2012 2019

The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, N., Grassi, S., Hoogerheide, L. F., Opschoor, A. & van Dijk, H. K., 2017, In : Journal of Statistical Software. 79, 1, p. 1-40

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Lucas, A., Opschoor, A. & Schaumburg, J., 2016, In : Economics Letters. 148, p. 96-98

Research output: Contribution to JournalArticleAcademicpeer-review

Missing values
Time-varying parameter model
Missing data
Transition dynamics

Order flow and volatility: An empirical investigation

Opschoor, A., Taylor, N., van der Wel, M. & van Dijk, D., 2014, In : Journal of Empirical Finance. 28, September, p. 185-201

Research output: Contribution to JournalArticleAcademicpeer-review

Empirical investigation
Order flow
Market conditions

Predicting volatility and correlations with Financial Conditions Indexes

Opschoor, A., van Dijk, D. & van der Wel, M., 2014, In : Journal of Empirical Finance. 29, 13-113/III, p. 435-447

Research output: Contribution to JournalArticleAcademicpeer-review

Financial condition
Stock returns
Correlation modelling
Bond market


Applied econometrics
Density forecasts
Value at risk