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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 Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

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

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Selected 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 JournalArticleProfessional

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

Time-varying parameter model
Missing values
Transition dynamics
Missing data

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

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 JournalArticleAcademicpeer-review

Importance sampling
EM algorithm
Mixture model


Applied econometrics
Density forecasts
Value at risk