Details about Artem Prokhorov

Access statistics for papers by Artem Prokhorov.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: ppr133

Working Papers

2024

1. Early warning systems for financial markets of emerging economies
   Papers, arXiv.org
2. Efficient estimation of parameters in marginals in semiparametric multivariate models
   Papers, arXiv.org
   Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2016) View citations (1)
   Working Papers, Concordia University, Department of Economics (2011) View citations (1)
3. Improved Semi-Parametric Bounds for Tail Probability and Expected Loss: Theory and Applications
   Papers, arXiv.org

2019

4. 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
   See also Journal Article A new family of copulas, with application to estimation of a production frontier system, Journal of Productivity Analysis, Springer (2021) View citations (3) (2021)
5. Moment Redundancy Test with Application to Efficiency-Improving Copulas
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   See also Journal Article Moment redundancy test with application to efficiency-improving copulas, Economics Letters, Elsevier (2018) (2018)

2017

6. Consistent Estimation of Linear Regression Models Using Matched Data
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2014) View citations (1)
   See also Journal Article Consistent estimation of linear regression models using matched data, Journal of Econometrics, Elsevier (2018) (2018)
7. Endogenous Environmental Variables In Stochastic Frontier Models
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (49)
   See also Journal Article Endogenous environmental variables in stochastic frontier models, Journal of Econometrics, Elsevier (2017) View citations (47) (2017)

2016

8. A New Measure of Vector Dependence, with an Application to Financial C ontagion
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
9. Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (2)
   See also Journal Article Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem, Economics Letters, Elsevier (2016) View citations (2) (2016)

2015

10. Endogeneity in Stochastic Frontier Models
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (7)
    See also Journal Article Endogeneity in stochastic frontier models, Journal of Econometrics, Elsevier (2016) View citations (121) (2016)
11. Fat tails and copulas: limits of diversification revisited
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (2)
12. GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (2)
    See also Journal Article GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Journal of Econometrics, Elsevier (2016) View citations (8) (2016)
13. Generalized Information Matrix Tests for Copulas
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (1)
    See also Journal Article Generalized information matrix tests for copulas, Econometric Reviews, Taylor & Francis Journals (2019) View citations (4) (2019)
14. 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

2013

15. Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models
    Working Papers, University of Toronto, Department of Economics View citations (1)
    Also in Working Papers, Concordia University, Department of Economics (2012) View citations (1)
    See also Journal Article Copula based factorization in Bayesian multivariate infinite mixture models, Journal of Multivariate Analysis, Elsevier (2014) View citations (3) (2014)
16. Reconstructing high dimensional dynamic distributions from distributions of lower dimension
    Working Papers, New Economic School (NES)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2013)
    Working Papers, Concordia University, Department of Economics (2012)
17. Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (2)

2011

18. Using Copulas to Model Time Dependence in Stochastic Frontier Models
    Working Papers, Concordia University, Department of Economics View citations (3)
    See also Journal Article Using Copulas to Model Time Dependence in Stochastic Frontier Models, Econometric Reviews, Taylor & Francis Journals (2014) View citations (30) (2014)

2010

19. A Goodness-of-fit Test for Copulas
    Working Papers, Concordia University, Department of Economics
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (6)
    See also Journal Article A Goodness-of-fit Test for Copulas, Econometric Reviews, Taylor & Francis Journals (2014) View citations (15) (2014)
20. Bartlett-type Correction of Distance Metric Test
    Working Papers, Concordia University, Department of Economics View citations (1)
21. Second Order Bias of Quasi-MLE for Covariance Structure Models
    Working Papers, Concordia University, Department of Economics
    See also Journal Article Second order bias of quasi-MLE for covariance structure models, Economics Letters, Elsevier (2012) (2012)

2009

22. Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas
    Working Papers, Concordia University, Department of Economics View citations (24)
    See also Journal Article Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas, Journal of Econometrics, Elsevier (2009) View citations (24) (2009)

2008

23. GMM Redundancy Results for General Missing Data Problems
    Working Papers, Concordia University, Department of Economics View citations (4)
    See also Journal Article GMM redundancy results for general missing data problems, Journal of Econometrics, Elsevier (2009) View citations (16) (2009)
24. On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models
    Working Papers, Concordia University, Department of Economics
    See also Journal Article On relative efficiency of quasi-MLE and GMM estimators of covariance structure models, Economics Letters, Elsevier (2009) View citations (3) (2009)

Journal Articles

2023

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

2022

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

2021

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

2020

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

2019

12. Generalized information matrix tests for copulas
    Econometric Reviews, 2019, 38, (9), 1024-1054 View citations (4)
    See also Working Paper Generalized Information Matrix Tests for Copulas, Working Papers (2015) View citations (1) (2015)

2018

13. Consistent estimation of linear regression models using matched data
    Journal of Econometrics, 2018, 203, (2), 344-358
    See also Working Paper Consistent Estimation of Linear Regression Models Using Matched Data, Working Papers (2017) (2017)
14. Moment redundancy test with application to efficiency-improving copulas
    Economics Letters, 2018, 171, (C), 29-33
    See also Working Paper Moment Redundancy Test with Application to Efficiency-Improving Copulas, Working Papers (2019) (2019)

2017

15. A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion
    Journal of Financial Econometrics, 2017, 15, (3), 474-503 View citations (4)
16. Endogenous environmental variables in stochastic frontier models
    Journal of Econometrics, 2017, 199, (2), 131-140 View citations (47)
    See also Working Paper Endogenous Environmental Variables In Stochastic Frontier Models, Working Papers (2017) View citations (49) (2017)

2016

17. Endogeneity in stochastic frontier models
    Journal of Econometrics, 2016, 190, (2), 280-288 View citations (121)
    See also Working Paper Endogeneity in Stochastic Frontier Models, Working Papers (2015) View citations (7) (2015)
18. Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem
    Economics Letters, 2016, 149, (C), 131-134 View citations (2)
    See also Working Paper Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem, Working Papers (2016) View citations (2) (2016)
19. GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
    Journal of Econometrics, 2016, 190, (1), 18-45 View citations (8)
    See also Working Paper GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference, Working Papers (2015) View citations (2) (2015)
20. Heavy tails and copulas: Limits of diversification revisited
    Economics Letters, 2016, 149, (C), 102-107 View citations (10)

2015

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

2014

22. A Goodness-of-fit Test for Copulas
    Econometric Reviews, 2014, 33, (7), 751-771 View citations (15)
    See also Working Paper A Goodness-of-fit Test for Copulas, Working Papers (2010) (2010)
23. An algorithm for constructing high dimensional distributions from distributions of lower dimension
    Economics Letters, 2014, 123, (3), 257-261 View citations (1)
24. Copula based factorization in Bayesian multivariate infinite mixture models
    Journal of Multivariate Analysis, 2014, 127, (C), 200-213 View citations (3)
    See also Working Paper Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models, Working Papers (2013) View citations (1) (2013)
25. Using Copulas to Model Time Dependence in Stochastic Frontier Models
    Econometric Reviews, 2014, 33, (5-6), 497-522 View citations (30)
    See also Working Paper Using Copulas to Model Time Dependence in Stochastic Frontier Models, Working Papers (2011) View citations (3) (2011)

2012

26. Second order bias of quasi-MLE for covariance structure models
    Economics Letters, 2012, 114, (2), 195-197
    See also Working Paper Second Order Bias of Quasi-MLE for Covariance Structure Models, Working Papers (2010) (2010)

2009

27. GMM redundancy results for general missing data problems
    Journal of Econometrics, 2009, 151, (1), 47-55 View citations (16)
    See also Working Paper GMM Redundancy Results for General Missing Data Problems, Working Papers (2008) View citations (4) (2008)
28. Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas
    Journal of Econometrics, 2009, 153, (1), 93-104 View citations (24)
    See also Working Paper Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas, Working Papers (2009) View citations (24) (2009)
29. On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
    Economics Letters, 2009, 102, (1), 4-6 View citations (3)
    See also Working Paper On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models, Working Papers (2008) (2008)

2008

30. Nonlinear dynamics and chaos theory in economics: a historical perspective (in Russian)
    Quantile, 2008, (4), 79-92 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. View citations (13)

Chapters

2024

1. Improving Predictions of Technical Inefficiency
   A chapter in Essays in Honor of Subal Kumbhakar, 2024, vol. 46, pp 309-328

2017

2. Copula Tests Using Information Matrix
   Chapter 6 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 229-255
3. 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
4. Introduction and Overview
   Chapter 1 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 1-17
5. 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
6. 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
7. 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
8. Summary and Conclusion
   Chapter 7 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 257-260