Research output per year
Research output per year
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.
Research
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.
In 2021, I won a VIDI award on my research proposal entitled ''Heterogeneity in extreme risks in high dimensions'''.
Teaching
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)
- Mathematics (PreMaster Finance Core course)
- Bachelor's and Master's thesis supervision
Ancillary activities
No ancillary activities
Ancillary activities are updated daily
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
Keywords
- HG Finance
- HA Statistics
Network
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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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. 1-40Research output: Contribution to Journal › Article › Academic › peer-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. 96-98Research output: Contribution to Journal › Article › Academic › peer-review
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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. 185-201Research output: Contribution to Journal › Article › Academic › peer-review
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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. 435-447Research output: Contribution to Journal › Article › Academic › peer-review
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A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, L. F., Opschoor, A. & van Dijk, H. K., 2012, In: Journal of Econometrics. 171, 2, p. 101-120 20 p.Research output: Contribution to Journal › Article › Academic › peer-review
Projects
- 1 Active
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NWO-VIDI Grant for: Heterogeneity in extreme risks in high dimensions
Opschoor, A., Thijssen, S. & Peerlings, D.
1/01/22 → 31/12/26
Project: Research
Prizes
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The 2014 Journal of Applied Econometrics Dissertation Prize
Opschoor, Anne (Recipient), 31 Dec 2014
Prize › Academic
Datasets
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Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
Opschoor, A. (Contributor), Lucas, A. (Contributor), Barra, I. (Contributor) & Dijk, D. V. (Contributor), Unknown Publisher, 1 Jan 2020
DOI: 10.6084/m9.figshare.12240584.v2, https://tandf.figshare.com/articles/Closed-Form_Multi-Factor_Copula_Models_with_Observation-Driven_Dynamic_Factor_Loadings/12240584/2
Dataset
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Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Opschoor, A. (Contributor), Lucas, A. (Contributor), Barra, I. (Contributor) & Dijk, D. V. (Contributor), Unknown Publisher, 1 Jan 2020
DOI: 10.6084/m9.figshare.12240584.v3, https://tandf.figshare.com/articles/Closed-Form_Multi-Factor_Copula_Models_with_Observation-Driven_Dynamic_Factor_Loadings/12240584/3
Dataset
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Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
Opschoor, A. (Contributor), Lucas, A. (Contributor), Barra, I. (Contributor) & Dijk, D. V. (Contributor), Unknown Publisher, 1 Jan 2020
DOI: 10.6084/m9.figshare.12240584.v1, https://tandf.figshare.com/articles/Closed-Form_Multi-Factor_Copula_Models_with_Observation-Driven_Dynamic_Factor_Loadings/12240584/1
Dataset
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Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Opschoor, A. (Creator), Lucas, A. (Creator), Barra, I. (Creator) & van Dijk, D. (Contributor), Taylor&Francis, 2020
DOI: 10.6084/m9.figshare.12240584, https://tandf.figshare.com/articles/Closed-Form_Multi-Factor_Copula_Models_with_Observation-Driven_Dynamic_Factor_Loadings/12240584
Dataset