Details about Ostap Okhrin

Access statistics for papers by Ostap Okhrin.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pok24

Working Papers

2022

1. Vulnerability-CoVaR: Investigating the Crypto-market
   Papers, arXiv.org View citations (4)
   See also Journal Article Vulnerability-CoVaR: investigating the crypto-market, Quantitative Finance, Taylor & Francis Journals (2022) View citations (4) (2022)

2019

2. Infinitely Stochastic Micro Forecasting
   Papers, arXiv.org

2018

3. Dynamic and granular loss reserving with copulae
   Papers, arXiv.org
4. Optimal Shrinkage Estimator for High-Dimensional Mean Vector
   Papers, arXiv.org View citations (1)
   See also Journal Article Optimal shrinkage estimator for high-dimensional mean vector, Journal of Multivariate Analysis, Elsevier (2019) View citations (10) (2019)

2015

5. Conditional systemic risk with penalized copula
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)

2014

6. Efficient iterative maximum likelihood estimation of high-parameterized time series models
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
   Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
7. Estimation procedures for exchangeable Marshall copulas with hydrological application
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
8. Modelling spatiotemporal variability of temperature
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
   See also Journal Article Modelling spatio-temporal variability of temperature, Computational Statistics, Springer (2015) View citations (2) (2015)

2013

9. CDO surfaces dynamics
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
10. Can expert knowledge compensate for data scarcity in crop insurance pricing?
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    Also in 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association (2013) View citations (2)
    See also Journal Article Can expert knowledge compensate for data scarcity in crop insurance pricing?, European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation (2016) View citations (6) (2016)
11. Goodness-of-fit test for specification of semiparametric copula dependence models
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Goodness-of-fit test for specification of semiparametric copula dependence models, Journal of Econometrics, Elsevier (2016) View citations (13) (2016)

2012

12. HMM in dynamic HAC models
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
13. Hierarchical Archimedean copulae: The HAC package
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Hierarchical Archimedean Copulae: The HAC Package, Journal of Statistical Software, Foundation for Open Access Statistics (2014) View citations (14) (2014)
14. Modeling time-varying dependencies between positive-valued high-frequency time series
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
15. Modelling general dependence between commodity forward curves
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Modelling the general dependence between commodity forward curves, Energy Economics, Elsevier (2014) View citations (10) (2014)
16. Realized Copula
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (1)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2012) View citations (1)

2010

17. Fitting high-dimensional copulae to data
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
18. Localising temperature risk
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
    See also Journal Article Localizing Temperature Risk, Journal of the American Statistical Association, Taylor & Francis Journals (2016) View citations (3) (2016)
19. Systemic weather risk and crop insurance: The case of China
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Systemic Weather Risk and Crop Insurance: The Case of China, Journal of Risk & Insurance, The American Risk and Insurance Association (2013) View citations (20) (2013)
20. Time varying hierarchical archimedean copulae
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)

2009

21. CDO and HAC
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
22. CDO pricing with copulae
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
23. De copulis non est disputandum - Copulae: An overview
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
24. On the Systemic Nature of Weather Risk
    2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists View citations (6)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2009)
    2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association (2009) View citations (7)
    See also Journal Article On the systemic nature of weather risk, Agricultural Finance Review, Emerald Group Publishing Limited (2010) View citations (18) (2010)
25. Properties of hierarchical Archimedean copulas
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Properties of hierarchical Archimedean copulas, Statistics & Risk Modeling, De Gruyter (2013) View citations (5) (2013)

2008

26. Modeling dependencies in finance using copulae
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Journal Articles

2022

1. Importance of Weather Conditions in a Flight Corridor
   Stats, 2022, 5, (1), 1-27 View citations (1)
2. Labor market tightness and individual wage growth: evidence from Germany
   Journal for Labour Market Research, 2022, 56, (1), 1-21 View citations (2)
3. Vulnerability-CoVaR: investigating the crypto-market
   Quantitative Finance, 2022, 22, (9), 1731-1745 View citations (4)
   See also Working Paper Vulnerability-CoVaR: Investigating the Crypto-market, Papers (2022) View citations (4) (2022)
4. What threatens stock markets more - The coronavirus or the hype around it?
   International Review of Economics & Finance, 2022, 78, (C), 519-539 View citations (6)

2021

5. Infinitely stochastic micro reserving
   Insurance: Mathematics and Economics, 2021, 100, (C), 30-58 View citations (4)
6. Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation
   Computational Statistics & Data Analysis, 2021, 155, (C) View citations (1)

2019

7. Flexible HAR model for realized volatility
   Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (3), 22 View citations (11)
8. Index of environmental awareness through the MIMIC approach
   Papers in Regional Science, 2019, 98, (3), 1419-1441
9. Optimal shrinkage estimator for high-dimensional mean vector
   Journal of Multivariate Analysis, 2019, 170, (C), 63-79 View citations (10)
   See also Working Paper Optimal Shrinkage Estimator for High-Dimensional Mean Vector, Papers (2018) View citations (1) (2018)

2018

10. Adaptive local parametric estimation of crop yields: implications for crop insurance rate making
    European Review of Agricultural Economics, 2018, 45, (2), 173-203 View citations (4)

2017

11. A comparison study of pricing credit default swap index tranches with convex combination of copulae
    The North American Journal of Economics and Finance, 2017, 42, (C), 193-217 View citations (4)
12. The Realized Hierarchical Archimedean Copula in Risk Modelling
    Econometrics, 2017, 5, (2), 1-31 View citations (6)

2016

13. A semiparametric factor model for CDO surfaces dynamics
    Journal of Multivariate Analysis, 2016, 146, (C), 151-163 View citations (3)
14. Can expert knowledge compensate for data scarcity in crop insurance pricing?
    European Review of Agricultural Economics, 2016, 43, (2), 237-269 View citations (6)
    See also Working Paper Can expert knowledge compensate for data scarcity in crop insurance pricing?, SFB 649 Discussion Papers (2013) (2013)
15. Goodness-of-fit test for specification of semiparametric copula dependence models
    Journal of Econometrics, 2016, 193, (1), 215-233 View citations (13)
    See also Working Paper Goodness-of-fit test for specification of semiparametric copula dependence models, SFB 649 Discussion Papers (2013) (2013)
16. Localizing Temperature Risk
    Journal of the American Statistical Association, 2016, 111, (516), 1491-1508 View citations (3)
    See also Working Paper Localising temperature risk, SFB 649 Discussion Papers (2010) View citations (1) (2010)
17. Lévy copulae for financial returns
    Dependence Modeling, 2016, 4, (1), 18
18. Managing risk with a realized copula parameter
    Computational Statistics & Data Analysis, 2016, 100, (C), 131-152 View citations (7)

2015

19. Editorial to the special issue on Applicable semiparametrics of computational statistics
    Computational Statistics, 2015, 30, (3), 641-646
20. HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
    Econometric Theory, 2015, 31, (5), 981-1015 View citations (12)
21. Modelling spatio-temporal variability of temperature
    Computational Statistics, 2015, 30, (3), 745-766 View citations (2)
    See also Working Paper Modelling spatiotemporal variability of temperature, SFB 649 Discussion Papers (2014) (2014)

2014

22. Conditional least squares and copulae in claims reserving for a single line of business
    Insurance: Mathematics and Economics, 2014, 56, (C), 28-37 View citations (16)
23. Hierarchical Archimedean Copulae: The HAC Package
    Journal of Statistical Software, 2014, 058, (i04) View citations (14)
    See also Working Paper Hierarchical Archimedean copulae: The HAC package, SFB 649 Discussion Papers (2012) (2012)
24. Modelling the general dependence between commodity forward curves
    Energy Economics, 2014, 43, (C), 284-296 View citations (10)
    See also Working Paper Modelling general dependence between commodity forward curves, SFB 649 Discussion Papers (2012) (2012)

2013

25. Dynamic structured copula models
    Statistics & Risk Modeling, 2013, 30, (4), 361-388 View citations (1)
26. Editorial to the special issue on Copulae of Statistics & Risk Modeling
    Statistics & Risk Modeling, 2013, 30, (4), 281-286
27. On the structure and estimation of hierarchical Archimedean copulas
    Journal of Econometrics, 2013, 173, (2), 189-204 View citations (52)
28. Properties of hierarchical Archimedean copulas
    Statistics & Risk Modeling, 2013, 30, (1), 21-54 View citations (5)
    See also Working Paper Properties of hierarchical Archimedean copulas, SFB 649 Discussion Papers (2009) (2009)
29. Systemic Weather Risk and Crop Insurance: The Case of China
    Journal of Risk & Insurance, 2013, 80, (2), 351-372 View citations (20)
    See also Working Paper Systemic weather risk and crop insurance: The case of China, SFB 649 Discussion Papers (2010) (2010)
30. Valuation of collateralized debt obligations with hierarchical Archimedean copulae
    Journal of Empirical Finance, 2013, 24, (C), 42-62 View citations (13)

2010

31. De copulis non est disputandum
    AStA Advances in Statistical Analysis, 2010, 94, (1), 1-31 View citations (5)
32. On the systemic nature of weather risk
    Agricultural Finance Review, 2010, 70, (2), 267-284 View citations (18)
    See also Working Paper On the Systemic Nature of Weather Risk, 2009 Conference, August 16-22, 2009, Beijing, China (2009) View citations (6) (2009)