Personal profile
Personal information
Anne Opschoor is an Associate Professor at the Department of Finance at Vrije Universiteit Amsterdam. In addition, he is a research fellow at the Tinbergen Institute. Under supervision of Dick van Dijk and Michel van der Wel, he obtained his PhD at the Tinbergen Institute/Econometric Institute at the Erasmus University Rotterdam in February 2014. He holds a master's degree in financial econometrics with honors from Erasmus University Rotterdam.
Research
His research interests include financial econometrics, time series econometrics, risk management, volatility modeling, and copulas. See his personal webpage for a list of publications and working papers.
In 2021, he was awarded a VIDI grant for his research proposal entitled Heterogeneity in extreme risks in high dimensions'.
Teaching
Anne teaches 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
Keywords
- HG Finance
- HA Statistics
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):
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SDG 17 Partnerships for the Goals
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Collaborations and top research areas from the last five years
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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
Courses
Projects
- 1 Active
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NWO-VIDI Grant for: Heterogeneity in extreme risks in high dimensions
Opschoor, A. (Principal Investigator), Thijssen, S. (Project Researcher), Peerlings, D. (Project Researcher), Holman, J. (Project Researcher) & Schick, M. (Project Researcher)
1/01/22 → 31/12/26
Project: Research
Prizes / Grants
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The 2014 Journal of Applied Econometrics Dissertation Prize
Opschoor, A. (Recipient), 31 Dec 2014
Prize / Grant: 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, 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 / Software: 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, 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 / Software: 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 / Software: 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, 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 / Software: Dataset