EconPapers    
Economics at your fingertips  
 

Details about Artem Prokhorov

Homepage:https://sites.google.com/site/artembprokhorov/
Workplace:Discipline of Business Analytics, Business School, University of Sydney, (more information at EDIRC)
Faculty of Economics, St. Petersburg State University, (more information at EDIRC)
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (Center for Interuniversity Research in Quantitative Economics), (more information at EDIRC)
Department of Economics, Concordia University, (more information at EDIRC)

Access statistics for papers by Artem Prokhorov.

Last updated 2017-09-07. Update your information in the RePEc Author Service.

Short-id: ppr133


Jump to Journal Articles

Working Papers

2017

  1. Endogenous Environmental Variables In Stochastic Frontier Models
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    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
    Also in Working Papers, Concordia University, Department of Economics (2011) Downloads 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
    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 (2)
    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 (1)
  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
    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)
  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

2014

  1. Consistent Estimation of Linear Regression Models Using Matched Data
    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) Downloads

    See also Journal Article in Journal of Multivariate Analysis (2014)
  2. Reconstructing high dimensional dynamic distributions from distributions of lower dimension
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    Also in Working Papers, Concordia University, Department of Economics (2012) Downloads
  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 Downloads 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 Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads View citations (5)

    See also Journal Article in Econometric Reviews (2014)
  2. Bartlett-type Correction of Distance Metric Test
    Working Papers, Concordia University, Department of Economics Downloads
  3. Second Order Bias of Quasi-MLE for Covariance Structure Models
    Working Papers, Concordia University, Department of Economics Downloads
    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 Downloads View citations (9)
    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 Downloads View citations (1)
    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 Downloads
    See also Journal Article in Economics Letters (2009)

Journal Articles

2017

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

2016

  1. Endogeneity in stochastic frontier models
    Journal of Econometrics, 2016, 190, (2), 280-288 Downloads View citations (6)
    See also Working Paper (2015)
  2. Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem
    Economics Letters, 2016, 149, (C), 131-134 Downloads
    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
    See also Working Paper (2015)
  4. Heavy tails and copulas: Limits of diversification revisited
    Economics Letters, 2016, 149, (C), 102-107 Downloads View citations (1)

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

2014

  1. A Goodness-of-fit Test for Copulas
    Econometric Reviews, 2014, 33, (7), 751-771 Downloads View citations (6)
    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
    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 (5)
    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 (5)
    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 (8)
    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)
 
Page updated 2017-10-15