11
H index
18
i10 index
400
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 |
| European Review of Agricultural Economics | 2 |
| Computational Statistics | 2 |
| Insurance: Mathematics and Economics | 2 |
| Journal of Multivariate Analysis | 2 |
| Computational Statistics & Data Analysis | 2 |
| Journal of Econometrics | 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 |
| Papers / arXiv.org | 4 |
Recent works citing Ostap Okhrin (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 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 |
| 2025 | Comparisons of multivariate contribution measures of risk contagion and their applications in cryptocurrency market. (2024). Pu, Tong ; Li, Junxue ; Wen, Limin ; Zhang, Yiying. In: Papers. RePEc:arx:papers:2411.13384. 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 |
| 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 |
| 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 |
| 2024 | Curved flight procedure construction with site-specific statistical meteorological data: A Swedish example. (2024). Olsson, Esbjaorn ; Naas, Anette ; Ullvetter, Maria ; Ekstrand, Henrik ; Ziverts, Ulrika ; Lukic, Peter ; Zhao, Xin ; Graonstedt, Tomas ; Petit, Olivier ; Wall, Martin ; Johansson, Ake ; Ridal, Martin. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:121:y:2024:i:c:s0969699724001595. 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 | . Full description at Econpapers || Download paper |
| 2024 | Parametric dependence between random vectors via copula-based divergence measures. (2024). de Keyser, Steven ; Gijbels, Irene. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000435. 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 |
| 2024 | Are there any prospects for a long-term savings program for citizens? The role of political stability, corruption and confidence in the future. (2024). Nepp, A. In: Journal of the New Economic Association. RePEc:nea:journl:y:2024:i:65:p:156-176. Full description at Econpapers || Download paper |
| 2024 | Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach. (2024). Mba, Jules Clement. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00559-2. Full description at Econpapers || Download paper |
| 2024 | A hybrid econometrics and machine learning based modeling of realized volatility of natural gas. (2024). Kristjanpoller, Werner. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00577-0. Full description at Econpapers || Download paper |
| 2024 | The effect of labour tightness on wages at the regional level in Central Europe. (2024). Szab, Lajos Tams. In: Journal for Labour Market Research. RePEc:spr:jlabrs:v:58:y:2024:i:1:d:10.1186_s12651-024-00383-w. 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 | 4 |
| 2022 | Vulnerability-CoVaR: investigating the crypto-market.(2022) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | 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 | 11 |
| 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 | 3 |
| 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 | 6 |
| 2017 | The Realized Hierarchical Archimedean Copula in Risk Modelling In: Econometrics. [Full Text][Citation analysis] | article | 6 |
| In: . [Full Text][Citation analysis] | article | 1 | |
| 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 | 12 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | 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 | 5 |
| 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 | 2 |
| 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 | ||
| In: . [Full Text][Citation analysis] | paper | 0 | |
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