Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series


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Refereed Publications


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)