Ostap Okhrin : Citation Profile

Technische Universität Dresden

12

H index

18

i10 index

422

Citations

RESEARCH PRODUCTION:

32

Articles

52

Papers

RESEARCH ACTIVITY:

   14 years (2008 - 2022). See details.
   Cites by year: 30
   Journals where Ostap Okhrin has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 33 (7.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pok24
   Updated: 2026-01-10    RAS profile: 2023-03-16    
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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:

Härdle, Wolfgang (16)

Odening, Martin (11)

Hautsch, Nikolaus (10)

Schienle, Melanie (8)

Fermanian, Jean-David (8)

Strausz, Roland (6)

Grajek, Michal (6)

Parolya, Nestor (5)

Horst, Ulrich (5)

Burdejová, Petra (5)

López Cabrera, Brenda (5)

Cites to:

Härdle, Wolfgang (65)

Patton, Andrew (30)

Bollerslev, Tim (30)

Engle, Robert (28)

Diebold, Francis (25)

Odening, Martin (23)

Hansen, Peter (22)

Shephard, Neil (21)

Chen, Xiaohong (20)

Corsi, Fulvio (20)

Lunde, Asger (19)

Main data

Where Ostap Okhrin has published?

Journals with more than one article published# docs
Statistics & Risk Modeling3
Journal of Econometrics2
Computational Statistics & Data Analysis2
Computational Statistics2
Insurance: Mathematics and Economics2
European Review of Agricultural Economics2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk22
Papers / arXiv.org4

Recent works citing Ostap Okhrin (2025 and 2024)

YearTitle of citing document
2025Stochastic modelling of food insecurity risk in Africa: Use of Vine Copulas and cointegration approaches. (2025). Pede, Valerien O ; Okou, Cyrille Guei ; Jeremy, Ronald ; Amar, Amine. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360696.

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2024How sustainable is premium subsidization for index insurance? - A quantitative impact analysis along a global program database. (2024). Kuhn, Lena ; Bobojonov, Ihtiyor. In: GEWISOLA 64th Annual Conference, Giessen, Germany, September 25–27, 2024. RePEc:ags:gewi24:364721.

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2025Using Cubic Splines in Crop Insurance Models – A Replication Study. (2025). Odening, Martin ; Filler, Gnther ; Schmidt, Lorenz ; Heydarli, Masud. In: German Journal of Agricultural Economics. RePEc:ags:gjagec:368989.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. (2024). Yang, Fan ; Tan, Ken Seng ; Cui, Hengxin. In: Papers. RePEc:arx:papers:2411.06640.

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2024On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market. (2024). Zhang, Yiying ; Wei, Yunran ; Pu, Tong. In: Papers. RePEc:arx:papers:2411.09676.

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2025On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2024Spatio-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.

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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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2025Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving. (2025). Siu, Tak Kuen. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:180-208.

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2024Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

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2024Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability. (2024). Dutta, Sumanjay ; Jain, Shashi. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004562.

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2025Uncertainty in heteroscedastic Bayesian model averaging. (2025). Mailhot, Mlina ; Pigeon, Mathieu ; Jessup, Sbastien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:63-78.

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2025A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference. (2025). Chen, Ray-Bing ; Lai, Wei-Ting ; Huang, Shih-Feng. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:345-360.

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2025Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Zaharieva, Martina Danielova ; Lopes, Hedibert F ; Virbickait, Audron. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198.

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2024Curved 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.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2024On the Mai–Wang stochastic decomposition for ℓp-norm symmetric survival functions on the positive orthant. (2024). Nelehova, Johanna G ; Genest, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000381.

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2024Parametric 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.

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2025Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule. (2025). Jelito, Damian ; Jaworski, Piotr ; Wony, Jakub ; Wyomaska, Agnieszka ; Pitera, Marcin. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:206:y:2025:i:c:s0047259x24001039.

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2025Improved Gaussian mean matrix estimators in high-dimensional data. (2025). Foroushani, Arash A ; Nkurunziza, Svrien. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000193.

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2024Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?. (2024). Pham, Linh ; Kamal, Javed Bin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000266.

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2025Selective maintenance optimization for mission-oriented dynamic dependent systems under uncertain future operating environments. (2025). Feng, Xiaoning ; Chen, Xiaohui ; Zhang, Lin. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:262:y:2025:i:c:s0951832025003254.

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2025Quantifying systemic risk in cryptocurrency markets: A high-frequency approach. (2025). Laurini, Mrcio P ; Pedro, Joao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025003776.

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2024Extreme state media reporting and the extreme stock market during COVID-19: A multi-quantile VaR Granger causality approach in China. (2024). Hong, Yun ; Jiang, Yanhui ; Su, Xiaojian ; Deng, Chao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002696.

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2024Are 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.

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2024Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. (2024). Yang, Fan ; Tan, Ken Seng ; Cui, Hengxin. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-022-04717-0.

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2024Assessing 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.

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2024A 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.

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2024The effect of labour tightness on wages at the regional level in Central Europe. (2024). Szabó, Lajos. In: Journal for Labour Market Research. RePEc:spr:jlabrs:v:58:y:2024:i:1:d:10.1186_s12651-024-00383-w.

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2024Maximum Likelihood With a Time Varying Parameter. (2024). Lanconelli, Alberto. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:4:d:10.1007_s00362-023-01497-y.

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2024Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data. (2024). Zhou, Qian M. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-024-01566-w.

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2025Bagging and regression trees in individual claims reserving. (2025). Peta, Michal ; Janouek, Jan. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01715-9.

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2024A copula formulation for multivariate latent Markov models. (2024). Farcomeni, Alessio ; Russo, Alfonso. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:3:d:10.1007_s11749-024-00919-9.

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2025Forecasting reserve risk for temporal dependent losses in insurance. (2025). de Peretti, Christian ; Araichi, Sawssen ; Belkacem, Lotfi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2254-2269.

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2024Investment decisions in a high-inflation environment. (2024). Pal, Rozalia ; Schito, Marco ; Klimaviit, Luka. In: EIB Working Papers. RePEc:zbw:eibwps:301874.

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2024The reaction of wages to skill shortage in nursing. (2024). Koch, Andreas ; Kroczek, Martin. In: VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges. RePEc:zbw:vfsc24:302406.

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Works by Ostap Okhrin:

YearTitleTypeCited
2009On the Systemic Nature of Weather Risk In: 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin.
[Full Text][Citation analysis]		paper22
2009On 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: 22		paper
2010On the systemic nature of weather risk.(2010) In: Agricultural Finance Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2009On the systemic nature of weather risk.(2009) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2013Can 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]		paper8
2016Can 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
2013Can expert knowledge compensate for data scarcity in crop insurance pricing?.(2013) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector In: Papers.
[Full Text][Citation analysis]		paper12
2019Optimal shrinkage estimator for high-dimensional mean vector.(2019) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2018Dynamic and granular loss reserving with copulae In: Papers.
[Full Text][Citation analysis]		paper0
2019Infinitely Stochastic Micro Forecasting In: Papers.
[Full Text][Citation analysis]		paper0
2022Vulnerability-CoVaR: Investigating the Crypto-market In: Papers.
[Full Text][Citation analysis]		paper5
2022Vulnerability-CoVaR: investigating the crypto-market.(2022) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2013Systemic Weather Risk and Crop Insurance: The Case of China In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article20
2010Systemic weather risk and crop insurance: The case of China.(2010) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2019Index of environmental awareness through the MIMIC approach In: Papers in Regional Science.
[Full Text][Citation analysis]		article0
2019Flexible HAR model for realized volatility In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article11
2013Properties of hierarchical Archimedean copulas In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article10
2009Properties of hierarchical Archimedean copulas.(2009) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 10		paper
2013Editorial to the special issue on Copulae of Statistics & Risk Modeling In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article0
2013Dynamic structured copula models In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article1
2015HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE In: Econometric Theory.
[Full Text][Citation analysis]		article13
2016Managing risk with a realized copula parameter In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article7
2021Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
2017A 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]		article4
2013On the structure and estimation of hierarchical Archimedean copulas In: Journal of Econometrics.
[Full Text][Citation analysis]		article44
2016Goodness-of-fit test for specification of semiparametric copula dependence models In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2013Goodness-of-fit test for specification of semiparametric copula dependence models.(2013) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2013Valuation of collateralized debt obligations with hierarchical Archimedean copulae In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article12
2014Modelling the general dependence between commodity forward curves In: Energy Economics.
[Full Text][Citation analysis]		article10
2012Modelling general dependence between commodity forward curves.(2012) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2021Infinitely stochastic micro reserving In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
2014Conditional least squares and copulae in claims reserving for a single line of business In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article14
2016A semiparametric factor model for CDO surfaces dynamics In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article3
2022What threatens stock markets more - The coronavirus or the hype around it? In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article6
2017The Realized Hierarchical Archimedean Copula in Risk Modelling In: Econometrics.
[Full Text][Citation analysis]		article7
2022Importance of Weather Conditions in a Flight Corridor In: Stats.
[Full Text][Citation analysis]		article1
2008Modeling Dependencies in Finance using Copulae In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper3
2009On the Systemic Nature of Weather Risk In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2009CDO Pricing with Copulae In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2009Properties of Hierarchical Archimedean Copulas In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper11
2009De copulis non est disputandum - Copulae: An Overview In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper8
2009CDO and HAC In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2010Time varying Hierarchical Archimedean Copulae In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper22
2010Fitting high-dimensional Copulae to Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper16
2010Systemic Weather Risk and Crop Insurance: The Case of China In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper11
2011Localising temperature risk In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper39
2012HMM in dynamic HAC models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2012Realized Copula In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2012Hierarchical Archimedean Copulae: The HAC Package In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper15
2012Modelling general dependence between commodity forward curves In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2013Can expert knowledge compensate for data scarcity in crop insurance pricing? In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2013CDO Surfaces Dynamics In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper3
2013Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Estimation procedures for exchangeable Marshall copulas with hydrological application In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2014Modelling spatiotemporal variability of temperature In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Conditional Systemic Risk with Penalized Copula In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2014Hierarchical Archimedean Copulae: The HAC Package In: Journal of Statistical Software.
[Full Text][Citation analysis]		article12
2012Hierarchical Archimedean copulae: The HAC package.(2012) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 12		paper
2018Adaptive local parametric estimation of crop yields: implications for crop insurance rate making In: European Review of Agricultural Economics.
[Full Text][Citation analysis]		article7
2010De copulis non est disputandum In: AStA Advances in Statistical Analysis.
[Full Text][Citation analysis]		article5
2015Editorial to the special issue on Applicable semiparametrics of computational statistics In: Computational Statistics.
[Full Text][Citation analysis]		article0
2015Modelling spatio-temporal variability of temperature In: Computational Statistics.
[Full Text][Citation analysis]		article1
2014Modelling spatiotemporal variability of temperature.(2014) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022Labor market tightness and individual wage growth: evidence from Germany In: Journal for Labour Market Research.
[Full Text][Citation analysis]		article3
2016Localizing Temperature Risk In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article4
2010Localising temperature risk.(2010) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2012Realized Copula In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper1
2012Realized copula.(2012) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 1		paper
2016Lévy copulae for financial returns In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2014Efficient iterative maximum likelihood estimation of high-parameterized time series models In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper1
2014Efficient iterative maximum likelihood estimation of high-parameterized time series models.(2014) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2008Modeling dependencies in finance using copulae In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2009CDO pricing with copulae In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2009De copulis non est disputandum - Copulae: An overview In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2009CDO and HAC In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Time varying hierarchical archimedean copulae In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Fitting high-dimensional copulae to data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2012HMM in dynamic HAC models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2012Modeling time-varying dependencies between positive-valued high-frequency time series In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2013CDO surfaces dynamics In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2014Estimation procedures for exchangeable Marshall copulas with hydrological application In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Conditional systemic risk with penalized copula In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1

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