Publications

• Garthoff R., Okhrin I. and Schmid W. Control Charts for Multivariate Nonlinear Time Series, REVSTAT - Statistical Journal, 13, pp. 131-144, 2015
• Garthoff R., Okhrin I. and Schmid W. Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series, AStA - Advances in Statistical Analysis, 98, pp. 225-255, 2014
• Golosnoy V., Okhrin I. and Schmid W. Statistical Surveillance for Volatility Forecasting Models, Journal of Financial Econometrics, 10, pp. 513-543, 2012
• Golosnoy V., Okhrin I. and Schmid W. New Characteristics for Portfolio Surveillance, Statistics: A Journal of Theoretical and Applied Statistics, 44, 303-321, 2010
• Golosnoy V., Okhrin I., Ragulin S. and Schmid W. On the Application of SPC in Finance, Frontiers in Statistical Quality Control 9, 119-130, 2010
• Golosnoy V., Schmid W. and Okhrin I. Sequential Monitoring of Optimal Portfolio Weights, in M. Frisen (ed.), Financial Surveillance, Wiley, 2007
• Yatsyshynets I. and Yeleyko Y. Criterion of Shortest Distance Between Informative Cubes in Multicriterion Multiaimed Models, Applied Statistics. Actuarial and Financial Mathematics, #1-2, 2004 (in ukrainian).

Proceeding

• Golosnoy, V., Okhrin, I. and Schmid, W. Monitoring Validity of Daily Volatility Model, Proceedings of the ISI World Statistics Congress, 58th Session in Dublin 2011
• Golosnoy, V., Okhrin, I. and Schmid, W. Modeling and Forecasting Realized Volatility via State-Space Representation, Proceedings of 9th Workshop on Stochastic Models and Their Applications, RWTH Aachen, pp. 32-33, 2009
• Golosnoy, V., Okhrin, I. and Schmid, W. Surveillance of the Minimum Variance Portfolio Composition, Bulletin of the International Statistical Institute (ISI), 56th Session in Lisbon 2007, pp. 2029-2032, 2007
• Okhrin O., Yatsyshynets I. and Yeleyko Y. Portfolio selection based on the internal yield requirement, Proceedings of 7-th international workshop for young mathematicians: Applied Mathematics, Cracow, Polen, p.131-149, 2005
• Okhrin O. and Yatsyshynets I. Model of effectiveness of interbank operations, Proceedings of Economics of the postcommunist countries under the globalization, Lviv, p.349-350, 2004 (in ukrainian).

Papers in progress

• Vaccine contra corona: impulse effects on stock markets, submitted (with A. Nepp, I. Okhrin, Z. Dzhuraeva, A. Zykov)
• Machine learning methods for transport data
• On LASSO-GARCH Approach 
• Sentiment Analysis for Movies Characteristics.