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Anne Opschoor

About Anne Opschoor

Anne Opschoor, With an exceptional h-index of 10 and a recent h-index of 8 (since 2020), a distinguished researcher at Vrije Universiteit Amsterdam, specializes in the field of risk management, volatility models, time series econometrics.

His recent articles reflect a diverse array of research interests and contributions to the field:

Heterogeneity and dynamics in network models

Time-varying variance and skewness in realized volatility measures

VU Research Portal

Closed-form multi-factor copula models with observation-driven dynamic factor loadings

Heterogeneity and Dynamics in Spatial Network Models

Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting

The importance of heterogeneity in dynamic network models applied to European systemic risk

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution

Anne Opschoor Information

University

Position

Universitair docent

Citations(all)

413

Citations(since 2020)

294

Cited By

239

hIndex(all)

10

hIndex(since 2020)

8

i10Index(all)

10

i10Index(since 2020)

8

Email

University Profile Page

Google Scholar

Anne Opschoor Skills & Research Interests

risk management

volatility models

time series econometrics

Top articles of Anne Opschoor

Heterogeneity and dynamics in network models

Journal of Applied Econometrics

2024/1/1

Anne Opschoor
Anne Opschoor

H-Index: 7

Time-varying variance and skewness in realized volatility measures

International Journal of Forecasting

2023/4/1

Anne Opschoor
Anne Opschoor

H-Index: 7

VU Research Portal

2018

Jef Vandenberghe
Jef Vandenberghe

H-Index: 39

Hemmo Abels
Hemmo Abels

H-Index: 22

Closed-form multi-factor copula models with observation-driven dynamic factor loadings

Journal of Business & Economic Statistics

2021/10/2

Anne Opschoor
Anne Opschoor

H-Index: 7

Dick Van Dijk
Dick Van Dijk

H-Index: 31

Heterogeneity and Dynamics in Spatial Network Models

2021/9/23

Andre Lucas
Andre Lucas

H-Index: 29

Anne Opschoor
Anne Opschoor

H-Index: 7

Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting

International Journal of Forecasting

2021/4/1

Anne Opschoor
Anne Opschoor

H-Index: 7

The importance of heterogeneity in dynamic network models applied to European systemic risk

2021

Anne Opschoor
Anne Opschoor

H-Index: 7

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution

2021

Francisco Blasques
Francisco Blasques

H-Index: 11

Andre Lucas
Andre Lucas

H-Index: 29

Anne Opschoor
Anne Opschoor

H-Index: 7

Luca Rossini
Luca Rossini

H-Index: 5

See List of Professors in Anne Opschoor University(Vrije Universiteit Amsterdam)