| New HEAVY models for fat-tailed realized covariances and returns A Opschoor, P Janus, A Lucas, D Van Dijk Journal of Business & Economic Statistics 36 (4), 643-657, 2018 | 94 | 2018 |
| A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation L Hoogerheide, A Opschoor, HK Van Dijk Journal of Econometrics 171 (2), 101-120, 2012 | 63 | 2012 |
| Combining density forecasts using focused scoring rules A Opschoor, D Van Dijk, M van der Wel Journal of Applied Econometrics 32 (7), 1298-1313, 2017 | 53 | 2017 |
| Predicting volatility and correlations with financial conditions indexes A Opschoor, D van Dijk, M van der Wel Journal of Empirical Finance 29, 435-447, 2014 | 31 | 2014 |
| Dynamic discrete copula models for high‐frequency stock price changes SJ Koopman, R Lit, A Lucas, A Opschoor Journal of Applied Econometrics 33 (7), 966-985, 2018 | 30 | 2018 |
| Forecasting value-at-risk under temporal and portfolio aggregation E Kole, T Markwat, A Opschoor, D Van Dijk Journal of Financial Econometrics 15 (4), 649-677, 2017 | 28 | 2017 |
| Order flow and volatility: An empirical investigation A Opschoor, N Taylor, M van der Wel, D van Dijk Journal of Empirical Finance 28, 185-201, 2014 | 28 | 2014 |
| Closed-form multi-factor copula models with observation-driven dynamic factor loadings A Opschoor, A Lucas, I Barra, D Van Dijk Journal of Business & Economic Statistics 39 (4), 1066-1079, 2021 | 25 | 2021 |
| The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference N Basturk, S Grassi, LF Hoogerheide, A Opschoor, HK Van Dijk Tinbergen Institute Discussion Paper 15-042/III, 2017 | 11 | 2017 |
| Accounting for missing values in score-driven time-varying parameter models A Lucas, A Opschoor, J Schaumburg Economics letters 148, 96-98, 2016 | 10 | 2016 |
| Fractional integration and fat tails for realized covariance kernels A Opschoor, A Lucas Journal of Financial Econometrics 17 (1), 66-90, 2019 | 8 | 2019 |
| Time-varying variance and skewness in realized volatility measures A Opschoor, A Lucas International Journal of Forecasting 39 (2), 827-840, 2023 | 7 | 2023 |
| Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting A Opschoor, A Lucas International Journal of Forecasting 37 (2), 622-633, 2021 | 7 | 2021 |
| New HEAVY models for fat-tailed returns and realized covariance kernels P Janus, A Lucas, A Opschoor Tinbergen Institute Discussion Paper 14-073/IV, 2014 | 7 | 2014 |
| Fractional integration and fat tails for realized covariance kernels and returns A Lucas, A Opschoor Tinbergen Institute Discussion Paper 16-069/IV, 2017 | 6 | 2017 |
| A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation LF Hoogerheide, A Opschoor, HK van Dijk Tinbergen Institute Discussion Paper, 2011 | 6 | 2011 |
| Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution F Blasques, A Lucas, A Opschoor, L Rossini Tinbergen Institute Discussion Paper 2021-010/III, 2021 | 5 | 2021 |
| Understanding financial market volatility A Opschoor | 2 | 2014 |
| Understanding Financial Market Volatility A Opschoor International Finance, 589-610, 2013 | 2 | 2013 |
| The R Package Mitlsem: Mixture of Student-T Distributions Using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation N Basturk, LF Hoogerheide, A Opschoor, HK van Dijk Tinbergen Institute Discussion Paper TI 12-096/III, 2012 | 2 | 2012 |
