Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

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• please refer to the CRC 649

Refereed Publications

• Härdle, W.K., Okhrin, O., and Wang, W., HMM in dynamic HAC models, forthcoming in Econometric Theory (working paper version)
• Fengler, M. R. and Okhrin, O., Managing Risk with a Realized Copula Parameter, forthcoming in Computational Statistics and Data Analysis, 2014, DOI: 10.1016/j.csda.2014.07.011 (working paper version)
• Okhrin, O. and Ristig, A., Hierarchical Archimedean Copulae: The HAC Package, Journal of Statistical Software 58(4), 2014, pp 1-20 (working paper version)
• Durante, F. and Okhrin, O., Estimation procedures for exchangeable Marshall copulas with application to hydrological risk, forthcoming in Stochastic Environmental Research and Risk Assessment, 2014, DOI: 10.1007/s00477-014-0866-7 (working paper version)
• Pesta, M. and Okhrin, O., Conditional Least Squares and Copulae in Claims Reserving for a Single Line of Business, Insurance: Mathematics and Economics 56, 2014, pp 28-37, DOI: 10.1016/j.insmatheco.2014.02.007 (working paper version)
• Zolotko, M. and Okhrin, O., Modelling general dependence between commodity forward curves, Energy Economics 43, 2014, pp 284-296, DOI: 10.1016/j.eneco.2014.02.019 (working paper version)
• Okhrin, O., Editorial to the special issue on Copulae of Statistics & Risk Modeling, Statistics and Risk Modeling (former Statistics and Decisions), 30(4), 2013, pp.281-286, DOI:10.1524/strm.2013.9014
• Härdle, W. K., Okhrin, O. and Okhrin, Y., Dynamic Structured Copula Models, Statistics and Risk Modeling (former Statistics and Decisions), 30(4), 2013, pp.361-388, DOI: 10.1524/strm.2013.2004 (working paper version)

• Okhrin, O., Okhrin, Y. and Schmid, W., Determining the structure and estimation of hierarchical Archimedean copulas, Journal of Econometrics 173(2), 2013, pp. 189-204, DOI: 10.1016/j.jeconom.2012.12.001
• Okhrin, O., Okhrin, Y. and Schmid, W., Properties of hierarchical Archimedean copulas. Statistics and Risk Modeling (former Statistics and Decision) 30(1), 2013, pp. 21-53, DOI: 10.1524/strm.2012.1107 (working paper version)
• Okhrin, O., Odening, M. and W. Xu, W., Systemic Weather Risk and Crop Insurance: The Case of China, Journal of Risk and Insurance 80(2), 2013, pp 351-372, DOI: 10.1111/j.1539-6975.2012.01476.x (working paper version)
• Okhrin, O., On the Generating Functional of the special case of S-Stopped Branching Processes, Visn. L'viv. Univ., Ser. Mekh.-Mat. (Bulletin of the Lviv University), Series in Mechanics and Mathematics 74, 2011, pp. 157-167 (working paper version)
• Odening, M., Filler, G., Okhrin, O. and Xu, W., On the Systemic Nature of Weather Risk. Agricultural Finance Review 70(2), 2010, pp. 267-284. (working paper version)

• Härdle, W. and Okhrin, O., De copulis non est disputandum - Copulae: an Overview, AStA - Advances in Statistical Analysis 94(1), 2010, pp. 1-31 (working paper version)

• Yeleyko, Y., Kyrychynska, I. and Okhrin, O., Asymptotic behavior of the S-stopped branching processes with countable state space, Visn. L'viv. Univ., Ser. Mekh.-Mat. (Bulletin of the Lviv University), Series in Mechanics and Mathematics 67, 2007, pp. 119-129 (working paper version)

Other Publications

• Odening, M., Okhrin, O., Shen, Z., Can expert knowledge compensate for data scarcity in crop insurance pricing?, Selected paper AAEA Annual Meeting 2013, Washington D.C. 
• Hautsch, N., Okhrin, O., Ristig, A., Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series, in: P.Jaworski, F.Durante, and W.K.Härdle (eds.), Copulae in Mathematical and Quantitative Finance, (2013), Springer Verlag
• Härdle, W., Wang, W., HMM and HAC, Advances in Intelligent Systems and Computing Volume 190, 2013, pp. 341-348, DOI: 10.1007/978-3-642-33042-1_37
• Härdle, W., Okhrin, O. and Choros, B., CDO Pricing with Copulae. In Bulletin of the International Statistical Institute, 57th Session Durban Vol. 57. Bulletin of the International Statistical Institute, 2009 (working paper version)
• Okhrin, O., Fitting high-dimensional Copulae to Data, in: J.-C. Duan, J. E. Gentle, and W. K. Härdle (eds.), Handbook of Computational Finance, (2011) Springer Verlag, pp. 469-503. (working paper version)
• Härdle, W., Okhrin, O., and Okhrin, Y., Modeling Dependencies in Finance using Copulae, Applied Quantitative Finance, eds. W. Härdle, N. Hautsch and L. Overbeck, second edition, 2008 (working paper version)
• Okhrin, O., Yatsyshynets (Okhrin), I., and Yeleyko, Ya., Portfolio selection based on the internal yield requirement, proceedings of 7th international workshop for young mathematicians: Applied Mathematics, Cracow, 2005, pp. 131-149
• Renewal theory and stock returns, Applied statistics. Acturial and Financial Mathematics. #1-2, pp. 217-218, 2004 (in Ukranian)

Papers in Progress

• Zhang, S., Okhrin, O., Zhou, Q., and Song, P., Goodness-of-fit Test For Specification of Semiparametric Copula Dependence Models, under revision in Journal of Econometrics from 15.01.2014 (working paper version)
• Hautsch, N., Okhrin, O., and Ristig, A., Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models, reject but encourage resubmission in Journal of Econometrics from 28.05.2014 (working paper version)
• Shen, Z., Okhrin, O., and Odening, M., Can expert knowledge compensate for data scarcity in crop insurance pricing?, under revision in European Review of Agricultural Economics from 03.03.2014 (working paper version)
• Choroś-Tomcyk, B., Härdle, W. and Okhrin, O., CDO Surfaces Dynamics, submitted to the Review of Derivates Research on 26.03.2014 (working paper version)
• Cao, X., Okhrin, O., Odening, M., and Ritter, M., Modelling spatiotemporal variability of temperature, under revision in Computational Statistics from 09.07.2014 (working paper version)
• Härdle, W., López Cabrera, B., Okhrin, O. and Wang, W., Localising temperature risk, submitted (working paper version)