Browsing All of EconStor by Author Opschoor, Anne

Jump to a point in the index:
Showing results 1 to 11 of 11
Year of PublicationTitleAuthor(s)
2011 A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive SimulationHoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2011 On the Effects of Private Information on VolatilityOpschoor, Anne; van der Wel, Michel; van Dijk, Dick; Taylor, Nick
2012 The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust SimulationBasturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2012 A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive SimulationHoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2013 Predicting Covariance Matrices with Financial Conditions IndexesOpschoor, Anne; van Dijk, Dick; van der Wel, Michel
2014 New HEAVY Models for Fat-Tailed Returns and Realized Covariance KernelsJanus, Pawel; Lucas, André; Opschoor, Anne
2014 Improving Density Forecasts and Value-at-Risk Estimates by Combining DensitiesOpschoor, Anne; van Dijk, Dick; van der Wel, Michel
2015 The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian InferenceBasturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2015 Forecasting Value-at-Risk under Temporal and Portfolio AggregationKole, Erik; Markwat, Thijs; Opschoor, Anne; van Dijk, Dick
2016 Fractional Integration and Fat Tails for Realized Covariance Kernels and ReturnsLucas, André; Opschoor, Anne
2016 Accounting for Missing Values in Score-Driven Time-Varying Parameter ModelsLucas, Andre; Opschoor, Anne; Schaumburg, Julia