11
H index
18
i10 index
389
Citations
Ostap Okhrin : Citation Profile
Technische Universität Dresden | RESEARCH PRODUCTION: 32 Articles 52 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2008 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ostap Okhrin. | Is cited by:
| Cites to:
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Main data
Where Ostap Okhrin has published?
| Journals with more than one article published | # docs |
|---|---|
| Statistics & Risk Modeling | 3 |
| Computational Statistics | 2 |
| Journal of Multivariate Analysis | 2 |
| Insurance: Mathematics and Economics | 2 |
| Journal of Econometrics | 2 |
| European Review of Agricultural Economics | 2 |
| Computational Statistics & Data Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk | 22 |
| SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany | 21 |
| Papers / arXiv.org | 4 |
Recent works citing Ostap Okhrin (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243. Full description at Econpapers || Download paper |
| 2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. Full description at Econpapers || Download paper |
| 2023 | Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384. Full description at Econpapers || Download paper |
| 2024 | On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549. Full description at Econpapers || Download paper |
| 2023 | Probabilistic climate risk assessment in rainfed wheat yield: Copula approach using water requirement satisfaction index. (2023). Fakheri-Fard, Ahmad ; Majnooni-Heris, Abolfazl ; Khaledi-Alamdari, Mohammad ; Russo, Ana. In: Agricultural Water Management. RePEc:eee:agiwat:v:289:y:2023:i:c:s0378377423004079. Full description at Econpapers || Download paper |
| 2024 | Spatio-temporal smoothing and dynamics of different electricity flexibility options for highly renewable energy systems—Case study for Norway. (2024). Zeyringer, Marianne ; Benth, Fred Espen ; Grochowicz, Aleksander. In: Applied Energy. RePEc:eee:appene:v:356:y:2024:i:c:s0306261923017026. Full description at Econpapers || Download paper |
| 2023 | Data-driven dynamic treatment planning for chronic diseases. (2023). Nielsen, Anne Molgaard ; Feuerriegel, Stefan ; Naumzik, Christof. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:853-867. Full description at Econpapers || Download paper |
| 2023 | Copula sensitivity analysis for portfolio credit derivatives. (2023). Hu, Jian-Qiang ; Fu, Michael C ; Peng, Yijie ; Lei, Lei. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:455-466. Full description at Econpapers || Download paper |
| 2024 | Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592. Full description at Econpapers || Download paper |
| 2023 | How does the COVID-19 pandemic shape the relationship between Twitter sentiment and stock liquidity of US firms?. (2023). ben Arfa, Nouha ; Chebbi, Kaouther ; Ammari, Aymen. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001497. Full description at Econpapers || Download paper |
| 2024 | Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability. (2024). Jain, Shashi ; Dutta, Sumanjay. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004562. Full description at Econpapers || Download paper |
| 2023 | Empirical tail risk management with model-based annealing random search. (2023). Zhang, Jinggong ; Tan, Ken Seng ; Fan, QI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:106-124. Full description at Econpapers || Download paper |
| 2023 | Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic. (2023). Wohar, Mark ; Kamal, Javed Bin. In: International Economics. RePEc:eee:inteco:v:173:y:2023:i:c:p:68-85. Full description at Econpapers || Download paper |
| 2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
| 2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. Full description at Econpapers || Download paper |
| 2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. Full description at Econpapers || Download paper |
| 2024 | Extreme state media reporting and the extreme stock market during COVID-19: A multi-quantile VaR Granger causality approach in China. (2024). Su, Xiaojian ; Jiang, Yanhui ; Hong, Yun ; Deng, Chao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002696. Full description at Econpapers || Download paper |
| 2023 | Quantitative Study on Agricultural Premium Rate and Its Distribution in China. (2023). Guo, Guizhen ; Fang, Lei ; Liao, Hanqi ; Wu, Yaoyao. In: Land. RePEc:gam:jlands:v:12:y:2023:i:1:p:263-:d:1037766. Full description at Econpapers || Download paper |
| 2023 | A copula-based multivariate hidden Markov model for modelling momentum in football. (2023). Maruotti, Antonello ; Langrock, Roland ; Otting, Marius. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:107:y:2023:i:1:d:10.1007_s10182-021-00395-8. Full description at Econpapers || Download paper |
| 2023 | Football tracking data: a copula-based hidden Markov model for classification of tactics in football. (2023). Karlis, Dimitris ; Otting, Marius. In: Annals of Operations Research. RePEc:spr:annopr:v:325:y:2023:i:1:d:10.1007_s10479-022-04660-0. Full description at Econpapers || Download paper |
| 2023 | A Semi-nonparametric Copula Model for Earnings Mobility. (2023). Gagliardini, Patrick ; Naguib, Costanza. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2302. Full description at Econpapers || Download paper |
| 2023 | Incorporating historical weather information in crop insurance rating. (2023). Ramsey, Ford A ; Liu, Yong. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:105:y:2023:i:2:p:546-575. Full description at Econpapers || Download paper |
| 2023 | Forecasting stock return volatility: The role of shrinkage approaches in a data?rich environment. (2022). Yang, MI ; Li, Tingyu ; Dai, Zhifeng. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:5:p:980-996. Full description at Econpapers || Download paper |
Works by Ostap Okhrin:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | On the Systemic Nature of Weather Risk In: 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin. [Full Text][Citation analysis] | paper | 21 |
| 2009 | On the Systemic Nature of Weather Risk.(2009) In: 2009 Conference, August 16-22, 2009, Beijing, China. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2010 | On the systemic nature of weather risk.(2010) In: Agricultural Finance Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | ||
| 2013 | Can expert knowledge compensate for data scarcity in crop insurance pricing? In: 2013 Annual Meeting, August 4-6, 2013, Washington, D.C.. [Full Text][Citation analysis] | paper | 8 |
| 2016 | Can expert knowledge compensate for data scarcity in crop insurance pricing?.(2016) In: European Review of Agricultural Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | ||
| 2018 | Optimal Shrinkage Estimator for High-Dimensional Mean Vector In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2019 | Optimal shrinkage estimator for high-dimensional mean vector.(2019) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2018 | Dynamic and granular loss reserving with copulae In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Infinitely Stochastic Micro Forecasting In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Vulnerability-CoVaR: Investigating the Crypto-market In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Vulnerability-CoVaR: investigating the crypto-market.(2022) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2013 | Systemic Weather Risk and Crop Insurance: The Case of China In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 20 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | ||
| 2019 | Index of environmental awareness through the MIMIC approach In: Papers in Regional Science. [Full Text][Citation analysis] | article | 0 |
| 2019 | Flexible HAR model for realized volatility In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 10 |
| 2013 | Properties of hierarchical Archimedean copulas In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 10 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | ||
| 2013 | Editorial to the special issue on Copulae of Statistics & Risk Modeling In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
| 2013 | Dynamic structured copula models In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 1 |
| 2015 | HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE In: Econometric Theory. [Full Text][Citation analysis] | article | 11 |
| 2016 | Managing risk with a realized copula parameter In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
| 2021 | Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 2017 | A comparison study of pricing credit default swap index tranches with convex combination of copulae In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 2013 | On the structure and estimation of hierarchical Archimedean copulas In: Journal of Econometrics. [Full Text][Citation analysis] | article | 41 |
| 2016 | Goodness-of-fit test for specification of semiparametric copula dependence models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | ||
| 2013 | Valuation of collateralized debt obligations with hierarchical Archimedean copulae In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 12 |
| 2014 | Modelling the general dependence between commodity forward curves In: Energy Economics. [Full Text][Citation analysis] | article | 10 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | ||
| 2021 | Infinitely stochastic micro reserving In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2014 | Conditional least squares and copulae in claims reserving for a single line of business In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
| 2016 | A semiparametric factor model for CDO surfaces dynamics In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 3 |
| 2022 | What threatens stock markets more - The coronavirus or the hype around it? In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 4 |
| 2017 | The Realized Hierarchical Archimedean Copula in Risk Modelling In: Econometrics. [Full Text][Citation analysis] | article | 6 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2008 | Modeling Dependencies in Finance using Copulae In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2009 | On the Systemic Nature of Weather Risk In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | CDO Pricing with Copulae In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Properties of Hierarchical Archimedean Copulas In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
| 2009 | De copulis non est disputandum - Copulae: An Overview In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2009 | CDO and HAC In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Time varying Hierarchical Archimedean Copulae In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
| 2010 | Fitting high-dimensional Copulae to Data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
| 2010 | Systemic Weather Risk and Crop Insurance: The Case of China In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
| 2011 | Localising temperature risk In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 39 |
| 2012 | HMM in dynamic HAC models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Realized Copula In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Hierarchical Archimedean Copulae: The HAC Package In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
| 2012 | Modelling general dependence between commodity forward curves In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Can expert knowledge compensate for data scarcity in crop insurance pricing? In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | CDO Surfaces Dynamics In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Estimation procedures for exchangeable Marshall copulas with hydrological application In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Modelling spatiotemporal variability of temperature In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Conditional Systemic Risk with Penalized Copula In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Hierarchical Archimedean Copulae: The HAC Package In: Journal of Statistical Software. [Full Text][Citation analysis] | article | 10 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | ||
| 2018 | Adaptive local parametric estimation of crop yields: implications for crop insurance rate making In: European Review of Agricultural Economics. [Full Text][Citation analysis] | article | 4 |
| 2010 | De copulis non est disputandum In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 5 |
| 2015 | Editorial to the special issue on Applicable semiparametrics of computational statistics In: Computational Statistics. [Full Text][Citation analysis] | article | 0 |
| 2015 | Modelling spatio-temporal variability of temperature In: Computational Statistics. [Full Text][Citation analysis] | article | 1 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2022 | Labor market tightness and individual wage growth: evidence from Germany In: Journal for Labour Market Research. [Full Text][Citation analysis] | article | 1 |
| 2016 | Localizing Temperature Risk In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 3 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | ||
| 2012 | Realized Copula In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2016 | Lévy copulae for financial returns In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
| 2014 | Efficient iterative maximum likelihood estimation of high-parameterized time series models In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
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