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Details about Artem Prokhorov

Homepage:https://sites.google.com/site/artembprokhorov/
Workplace:Faculty of Economics, St. Petersburg State University, (more information at EDIRC)
Discipline of Business Analytics, Business School, University of Sydney, (more information at EDIRC)

Access statistics for papers by Artem Prokhorov.

Last updated 2023-12-05. Update your information in the RePEc Author Service.

Short-id: ppr133


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Working Papers

2019

  1. A New Family of Copulas, with Application to Estimation of a Production Frontier System
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    See also Journal Article in Journal of Productivity Analysis (2021)
  2. Moment Redundancy Test with Application to Efficiency-Improving Copulas
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    See also Journal Article in Economics Letters (2018)

2017

  1. Consistent Estimation of Linear Regression Models Using Matched Data
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2014) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2018)
  2. Endogenous Environmental Variables In Stochastic Frontier Models
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (44)
    See also Journal Article in Journal of Econometrics (2017)

2016

  1. A New Measure of Vector Dependence, with an Application to Financial C ontagion
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
  2. Efficient estimation of parameters in marginal in semiparametric multivariate models
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (1)
    Also in Working Papers, Concordia University, Department of Economics (2011) View citations (1)
  3. Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (2)
    See also Journal Article in Economics Letters (2016)

2015

  1. Endogeneity in Stochastic Frontier Models
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2016)
  2. Fat tails and copulas: limits of diversification revisited
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (2)
  3. GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2016)
  4. Generalized Information Matrix Tests for Copulas
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2019)
  5. Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads

2013

  1. Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models
    Working Papers, University of Toronto, Department of Economics Downloads View citations (1)
    Also in Working Papers, Concordia University, Department of Economics (2012) View citations (1)

    See also Journal Article in Journal of Multivariate Analysis (2014)
  2. Reconstructing high dimensional dynamic distributions from distributions of lower dimension
    Working Papers, New Economic School (NES) Downloads
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2013) Downloads
    Working Papers, Concordia University, Department of Economics (2012)
  3. Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (2)

2011

  1. Using Copulas to Model Time Dependence in Stochastic Frontier Models
    Working Papers, Concordia University, Department of Economics View citations (3)
    See also Journal Article in Econometric Reviews (2014)

2010

  1. A Goodness-of-fit Test for Copulas
    Working Papers, Concordia University, Department of Economics
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads View citations (6)

    See also Journal Article in Econometric Reviews (2014)
  2. Bartlett-type Correction of Distance Metric Test
    Working Papers, Concordia University, Department of Economics View citations (1)
  3. Second Order Bias of Quasi-MLE for Covariance Structure Models
    Working Papers, Concordia University, Department of Economics
    See also Journal Article in Economics Letters (2012)

2009

  1. Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas
    Working Papers, Concordia University, Department of Economics View citations (22)
    See also Journal Article in Journal of Econometrics (2009)

2008

  1. GMM Redundancy Results for General Missing Data Problems
    Working Papers, Concordia University, Department of Economics View citations (4)
    See also Journal Article in Journal of Econometrics (2009)
  2. On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models
    Working Papers, Concordia University, Department of Economics
    See also Journal Article in Economics Letters (2009)

Journal Articles

2023

  1. A machine learning attack on illegal trading
    Journal of Banking & Finance, 2023, 148, (C) Downloads
  2. DS-HECK: double-lasso estimation of Heckman selection model
    Empirical Economics, 2023, 64, (6), 3167-3195 Downloads
  3. Forecasting tail risk measures for financial time series: An extreme value approach with covariates
    Journal of Empirical Finance, 2023, 71, (C), 29-50 Downloads
  4. Yet another look at the omitted variable bias
    Econometric Reviews, 2023, 42, (1), 1-27 Downloads

2022

  1. A new approach to credit ratings
    Journal of Banking & Finance, 2022, 140, (C) Downloads View citations (1)
  2. Technical and allocative inefficiency in production systems: a vine copula approach
    Dependence Modeling, 2022, 10, (1), 145-158 Downloads
  3. Uniform convergence rates for nonparametric estimators smoothed by the beta kernel
    Scandinavian Journal of Statistics, 2022, 49, (3), 1353-1382 Downloads View citations (1)

2021

  1. A new family of copulas, with application to estimation of a production frontier system
    Journal of Productivity Analysis, 2021, 55, (1), 1-14 Downloads View citations (3)
    See also Working Paper (2019)
  2. Estimation of semi- and nonparametric stochastic frontier models with endogenous regressors
    Empirical Economics, 2021, 60, (6), 3043-3068 Downloads View citations (1)
  3. msreg: A command for consistent estimation of linear regression models using matched data
    Stata Journal, 2021, 21, (1), 123-140 Downloads

2020

  1. A Simple Estimator of Two‐Dimensional Copulas, with Applications
    Oxford Bulletin of Economics and Statistics, 2020, 82, (6), 1375-1412 Downloads

2019

  1. Generalized information matrix tests for copulas
    Econometric Reviews, 2019, 38, (9), 1024-1054 Downloads View citations (3)
    See also Working Paper (2015)

2018

  1. Consistent estimation of linear regression models using matched data
    Journal of Econometrics, 2018, 203, (2), 344-358 Downloads
    See also Working Paper (2017)
  2. Moment redundancy test with application to efficiency-improving copulas
    Economics Letters, 2018, 171, (C), 29-33 Downloads
    See also Working Paper (2019)

2017

  1. A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion
    The Journal of Financial Econometrics, 2017, 15, (3), 474-503 Downloads View citations (3)
  2. Endogenous environmental variables in stochastic frontier models
    Journal of Econometrics, 2017, 199, (2), 131-140 Downloads View citations (42)
    See also Working Paper (2017)

2016

  1. Endogeneity in stochastic frontier models
    Journal of Econometrics, 2016, 190, (2), 280-288 Downloads View citations (116)
    See also Working Paper (2015)
  2. Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem
    Economics Letters, 2016, 149, (C), 131-134 Downloads View citations (2)
    See also Working Paper (2016)
  3. GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
    Journal of Econometrics, 2016, 190, (1), 18-45 Downloads View citations (7)
    See also Working Paper (2015)
  4. Heavy tails and copulas: Limits of diversification revisited
    Economics Letters, 2016, 149, (C), 102-107 Downloads View citations (9)

2015

  1. Two-sample nonparametric estimation of intergenerational income mobility in the United States and Sweden
    Canadian Journal of Economics, 2015, 48, (5), 1733-1761 Downloads View citations (5)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2015, 48, (5), 1733-1761 (2015) Downloads View citations (2)

2014

  1. A Goodness-of-fit Test for Copulas
    Econometric Reviews, 2014, 33, (7), 751-771 Downloads View citations (15)
    See also Working Paper (2010)
  2. An algorithm for constructing high dimensional distributions from distributions of lower dimension
    Economics Letters, 2014, 123, (3), 257-261 Downloads View citations (1)
  3. Copula based factorization in Bayesian multivariate infinite mixture models
    Journal of Multivariate Analysis, 2014, 127, (C), 200-213 Downloads View citations (3)
    See also Working Paper (2013)
  4. Using Copulas to Model Time Dependence in Stochastic Frontier Models
    Econometric Reviews, 2014, 33, (5-6), 497-522 Downloads View citations (29)
    See also Working Paper (2011)

2012

  1. Second order bias of quasi-MLE for covariance structure models
    Economics Letters, 2012, 114, (2), 195-197 Downloads
    See also Working Paper (2010)

2009

  1. GMM redundancy results for general missing data problems
    Journal of Econometrics, 2009, 151, (1), 47-55 Downloads View citations (16)
    See also Working Paper (2008)
  2. Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas
    Journal of Econometrics, 2009, 153, (1), 93-104 Downloads View citations (22)
    See also Working Paper (2009)
  3. On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
    Economics Letters, 2009, 102, (1), 4-6 Downloads View citations (3)
    See also Working Paper (2008)

2008

  1. Nonlinear dynamics and chaos theory in economics: a historical perspective (in Russian)
    Quantile, 2008, (4), 79-92 Downloads View citations (2)

Books

2017

  1. Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (12)

Chapters

2017

  1. Copula Tests Using Information Matrix
    Chapter 6 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 229-255 Downloads
  2. From Independence to Dependence via Copulas and U-statistics
    Chapter 3 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 47-111 Downloads
  3. Introduction and Overview
    Chapter 1 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 1-17 Downloads
  4. Limits of Diversification under Fat Tails and Dependence
    Chapter 4 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 113-170 Downloads
  5. Portfolio Diversification under Independent Fat Tailed Risks
    Chapter 2 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 19-45 Downloads
  6. Robustness of Econometric Methods to Copula Misspecification and Heavy Tails
    Chapter 5 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 171-228 Downloads
  7. Summary and Conclusion
    Chapter 7 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 257-260 Downloads
 
Page updated 2024-02-19