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Research Output 2012 2019

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Article
2019

Fractional integration and fat tails for realized covariance kernels

Opschoor, A. & Lucas, A., 1 Jan 2019, In : Journal of Financial Econometrics. 17, 1, p. 66-90 25 p., 17.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Covariance matrix
Fractional integration
Kernel
Fat tails
Long memory
2018

Dynamic discrete copula models for high-frequency stock price changes

Koopman, S. J., Lit, R., Lucas, A. & Opschoor, A., Nov 2018, In : Journal of Applied Econometrics. 33, 7, p. 966-985 20 p., 33.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
bank
simulation
Price changes
Copula
Stock prices

New HEAVY Models for Fat-Tailed Realized Covariances and Returns

Opschoor, A., Janus, P., Lucas, A. & Van Dijk, D., 2 Oct 2018, In : Journal of Business and Economic Statistics. 36, 4, p. 643-657 15 p., 36.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Covariance matrix
Volatility
F distribution
Positive Definiteness
simulation
2017

Combining density forecasts using focused scoring rules

Opschoor, A., Van Dijk, D. & van der Wel, M., 2017, In : Journal of Applied Econometrics. 32, 7, p. 1298-1313

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
weighting
value added
equity
market
Values

Forecasting Value-at-Risk under Temporal and Portfolio Aggregation*

Kole, E., Markwat, T., Opschoor, A. & Van Dijk, D., 2017, In : Journal of Financial Econometrics. 15, 4, p. 649-677

Research output: Contribution to JournalArticleAcademicpeer-review

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
2016

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
2014

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
Announcement
Factors
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
Inclusion
Correlation modelling
Bond market
2012

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
Simulation
Mixture model
Approximation