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 Okhrin, Y., Dynamic Structured Copula Models, Statistics and Risk Modeling (former Statistics and Decisions), forthcoming (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

• 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

• Härdle, W., López Cabrera, B., Okhrin, O. and Wang, W., Localising temperature risk, under second revision from 09.07.2013 in Journal of Econometrics (working paper version)
• Zolotko, M. and Okhrin, O., Modelling general dependence between commodity forward curves, under revision from 11.12.2012 in Energy Economics (working paper version)

• Wang, W., Härdle, W.K., and Okhrin, O., HMM in dynamic HAC models, submitted for publication to Econometric Theory on 06.07.2012 (working paper version)
• Okhrin, O. and Ristig, A., Hierarchical Archimedean Copulae: The HAC Package, under accept minor in the Journal of Statistical Software from 28.03.2013 (working paper version)
• Okhrin, O., Song, P., Zhang, S., and Zhou, Q., Goodness-of-fit Test For Specification of Semiparametric Copula Dependence Models, submitted to Journal of Econometrics on 05.09.2013 (working paper version)
• Fengler, M. R. and Okhrin, O., Realized Copula Models, submitted for publication to Journal of Applied Economics on 06.04.2013. Preprint version was on 14.06.2012 listed on SSRN's Top Ten download list for: ERN: Semiparametric & Nonparametric Methods (Topic) and ERN: Time-Series Models (Single) (Topic) (working paper version)
• Odening, M., Okhrin, O., and Shen, Z., Can expert knowledge compensate for data scarcity in crop insurance pricing?, submitted to American Journal of Agricultural Economics on 10.05.2013 (working paper version)
• Okhrin, O. and Pesta, M., Conditional Least Squares and Copulae in Claims Reserving for a Single Line of Business, submitted to Insurance: Mathematics and Economics on 19.06.2013 (working paper version)