Details about Ostap Okhrin

Homepage:	https://tu-dresden.de/bu/verkehr/ivw/osv/die-professur/inhaber-in
Workplace:	Institut für Wirtschaft und Verkehr (Institute of Transport and Economics), Technische Universität Dresden (Dresden University of Technology), (more information at EDIRC)

Access statistics for papers by Ostap Okhrin.

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

Short-id: pok24

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Working Papers

2015

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

2014

Efficient iterative maximum likelihood estimation of high-parameterized time series models
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (1)
Estimation procedures for exchangeable Marshall copulas with hydrological application
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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

CDO surfaces dynamics
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
Can expert knowledge compensate for data scarcity in crop insurance pricing?
2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association View citations (2)
Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2013)
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)
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 (12) (2016)

2012

HMM in dynamic HAC models
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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)
Modeling time-varying dependencies between positive-valued high-frequency time series
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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)
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

Fitting high-dimensional copulae to data
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
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 (2) (2016)
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)
Time varying hierarchical archimedean copulae
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)

2009

CDO and HAC
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
CDO pricing with copulae
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
De copulis non est disputandum - Copulae: An overview
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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)
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

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

Journal Articles

2022

Importance of Weather Conditions in a Flight Corridor
Stats, 2022, 5, (1), 1-27 View citations (1)
Labor market tightness and individual wage growth: evidence from Germany
Journal for Labour Market Research, 2022, 56, (1), 1-21 View citations (2)
Vulnerability-CoVaR: investigating the crypto-market
Quantitative Finance, 2022, 22, (9), 1731-1745 View citations (3)
See also Working Paper Vulnerability-CoVaR: Investigating the Crypto-market, Papers (2022) View citations (3) (2022)
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

Infinitely stochastic micro reserving
Insurance: Mathematics and Economics, 2021, 100, (C), 30-58 View citations (2)
Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation
Computational Statistics & Data Analysis, 2021, 155, (C) View citations (1)

2019

Flexible HAR model for realized volatility
Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (3), 22 View citations (10)
Index of environmental awareness through the MIMIC approach
Papers in Regional Science, 2019, 98, (3), 1419-1441
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

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 (3)

2017

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)
The Realized Hierarchical Archimedean Copula in Risk Modelling
Econometrics, 2017, 5, (2), 1-31 View citations (6)

2016

A semiparametric factor model for CDO surfaces dynamics
Journal of Multivariate Analysis, 2016, 146, (C), 151-163 View citations (3)
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?, 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. (2013) View citations (2) (2013)
Goodness-of-fit test for specification of semiparametric copula dependence models
Journal of Econometrics, 2016, 193, (1), 215-233 View citations (12)
See also Working Paper Goodness-of-fit test for specification of semiparametric copula dependence models, SFB 649 Discussion Papers (2013) (2013)
Localizing Temperature Risk
Journal of the American Statistical Association, 2016, 111, (516), 1491-1508 View citations (2)
See also Working Paper Localising temperature risk, SFB 649 Discussion Papers (2010) View citations (1) (2010)
Lévy copulae for financial returns
Dependence Modeling, 2016, 4, (1), 18
Managing risk with a realized copula parameter
Computational Statistics & Data Analysis, 2016, 100, (C), 131-152 View citations (6)

2015

Editorial to the special issue on Applicable semiparametrics of computational statistics
Computational Statistics, 2015, 30, (3), 641-646
HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
Econometric Theory, 2015, 31, (5), 981-1015 View citations (10)
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

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 (13)
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)
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

Dynamic structured copula models
Statistics & Risk Modeling, 2013, 30, (4), 361-388 View citations (1)
Editorial to the special issue on Copulae of Statistics & Risk Modeling
Statistics & Risk Modeling, 2013, 30, (4), 281-286
On the structure and estimation of hierarchical Archimedean copulas
Journal of Econometrics, 2013, 173, (2), 189-204 View citations (51)
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)
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)
Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Journal of Empirical Finance, 2013, 24, (C), 42-62 View citations (13)

2010

De copulis non est disputandum
AStA Advances in Statistical Analysis, 2010, 94, (1), 1-31 View citations (5)
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)