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Research Output 2012 2019

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Working paper
2019

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

Opschoor, A., Lucas, A., Barra, I. & Van Dijk, D., 2019, 013/IV ed., Amsterdam: Tinbergen Institute, 49 p. (TI Discussion Paper Series; vol. 2019, no. 013/IV).

Research output: Working paperAcademic

2016

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

Lucas, A., Opschoor, A. & Schaumburg, J., 2016, Amsterdam: Tinbergen Institute, 7 p. (TI Discussion Series; no. 16-067/IV).

Research output: Working paperProfessional

Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

Lucas, A. & Opschoor, A., 2016, Amsterdam: Tinbergen Institute, 31 p. (TI Discussion Series; no. 16-069/IV).

Research output: Working paperProfessional

2015

Forecasting Value-at-Risk under Temporal and Portfolio Aggregation

Kole, E., Markwat, T., Opschoor, A. & van Dijk, D., 2015, Amsterdam: Tinbergen Institute, 79 p. (TI Discussion Paper; no. 15-140/III).

Research output: Working paperProfessional

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., 2015, Amsterdam: Tinbergen Institute, 42 p. (TI Discussion Paper; no. 15-042/III).

Research output: Working paperProfessional

2014

Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities

Opschoor, A., van Dijk, D. & van der Wel, M., 2014, Amsterdam: Tinbergen Institute, 45 p. (TI Discussion Paper; no. 14-090/III).

Research output: Working paperProfessional

New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels

Janus, P., Lucas, A. & Opschoor, A., 2014, Amsterdam: Tinbergen Institute, 31 p. (TI Discussion Paper; no. 14-073/IV).

Research output: Working paperProfessional

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, Amsterdam: Tinbergen Institute, 37 p. (TI Discussion Paper; no. 12-026/4).

Research output: Working paperProfessional

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The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Basturk, N., Hoogerheide, L. F., Opschoor, A. & van Dijk, H. K., 2012, Amsterdam: Tinbergen Institute, 32 p. (TI Discussion Paper; no. 12-096/III).

Research output: Working paperProfessional

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