Browsing All of EconStor by Author Opschoor, Anne


Showing results 1 to 17 of 17
Year of PublicationTitleAuthor(s)
2011A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive SimulationHoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2011On the Effects of Private Information on VolatilityOpschoor, Anne; van der Wel, Michel; van Dijk, Dick; Taylor, Nick
2012A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive SimulationHoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2012The 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.
2013Predicting Covariance Matrices with Financial Conditions IndexesOpschoor, Anne; van Dijk, Dick; van der Wel, Michel
2014Improving Density Forecasts and Value-at-Risk Estimates by Combining DensitiesOpschoor, Anne; van Dijk, Dick; van der Wel, Michel
2014New HEAVY Models for Fat-Tailed Returns and Realized Covariance KernelsJanus, Pawel; Lucas, André; Opschoor, Anne
2015Forecasting Value-at-Risk under Temporal and Portfolio AggregationKole, Erik; Markwat, Thijs; Opschoor, Anne; van Dijk, Dick
2015The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian InferenceBasturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2016Fractional Integration and Fat Tails for Realized Covariance Kernels and ReturnsLucas, André; Opschoor, Anne
2016Accounting for Missing Values in Score-Driven Time-Varying Parameter ModelsLucas, Andre; Opschoor, Anne; Schaumburg, Julia
2017The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian InferenceBasturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor LoadingsOpschoor, Anne; Lucas, André; Barra, Istvan; van Dijk, Dick
2019Observation-driven Models for Realized Variances and Overnight ReturnsOpschoor, Anne; Lucas, André
2019Time-varying tail behavior for realized kernelsOpschoor, Anne; Lucas, André
2021The importance of heterogeneity in dynamic network models applied to European systemic riskZhang, Xingmin; Opschoor, Anne; Lucas, André
2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz DistributionBlasques, Francisco; Lucas, Andre; Opschoor, Anne; Rossini, Luca