Publikationen

Main • Curriculum Vitae • Publications

Refereed Publications

• Härdle, W., López Cabrera, B., Okhrin, O. and Wang, W., Localising temperature risk, forthcoming in Journal of the American Statistical Association (working paper version, slides)
• Zhang, S., Okhrin, O., Zhou, Q., and Song, P., Goodness-of-fit Test For Specification of Semiparametric Copula Dependence Models, Journal of Econometrics, 193, 2016, pp. 215-233, DOI: 10.1016/j.jeconom.2016.02.017 (working paper version, slides, R package)
• Fengler, M. R. and Okhrin, O., Managing Risk with a Realized Copula Parameter, forthcoming in Computational Statistics and Data Analysis, DOI: 10.1016/j.csda.2014.07.011 (working paper version, slides)
• Choros-Tomczyk, B., Härdle, W. K., and Okhrin. O., A Semiparametric Factor Model for CDO Surfaces Dynamics, Journal of Multivariate Analysis, 146, 2016, pp. 151–163, DOI: 10.1016/j.jmva.2015.09.002 (working paper version, slides)
• Shen, Z., Odening, M., and Okhrin, O., Can expert knowledge compensate for data scarcity in crop insurance pricing?, European Review of Agricultural Economics 43(2), 2016, pp. 237-269, DOI: 10.1093/erae/jbv015
• Härdle, W.K., Okhrin, O., and Wang, W.,  HMM in dynamic HAC models, Econometric Theory 31(5), 2015, pp 981-1015, DOI: 10.1017/S0266466614000607 (working paper version, slides)
• Okhrin, O., and Trueck, S. Editorial to the special issue on Applicable semiparametrics of computational statistics, Computational Statistics 30(3), 2015, pp 641-646, DOI: 10.1017/s00180-015-0616-4
• Cao, X., Okhrin, O., Odening, M., and Ritter, M., Modelling spatiotemporal variability of temperature, Computational Statistics 30(3), 2015, pp 745-766, DOI: 10.1007/s00180-015-0561-2 (working paper version)
• Durante, F. and Okhrin, O., Estimation procedures for exchangeable Marshall copulas with application to hydrological risk,  Stochastic Environmental Research and Risk Assessment 29, 2014, pp 205-226, DOI: 10.1007/s00477-014-0866-7 (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, R package)
• 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., 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 (slides)
• 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, slides)
• Choros, B., Härdle, W. and Okhrin, O., Valuation of Collateralized Debt Obligations with Hierarchical Archimedean Copulae, Journal of Empirical Finance 24, 2013, pp. 42-62, DOI: 10.1016/j.jempfin.2013.08.001 (working paper version, slides)
• 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, slides)
• 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, slides)
• 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, slides)
• 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, slides)
• 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, slides)

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, slides)
• 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, slides)
• 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 Ukrainian)

Papers in Progress

• Audrino, F., Huang, C., and Okhrin, O. Flexible HAR Model for Realized Volatility, submitted on 04.04.2016
• Okhrin, O.,  Ristig, A., Sheen, J., and Trueck, S.,  Conditional Systemic risk with penalized copula, submitted on 06.08.2015 (working paper version, slides)
• Hautsch, N., Okhrin, O., and Ristig, A., Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models, submitted on 26.06.2015 (working paper version, slides)
• Okhrin, O. and Xu, Y., Pricing tranches of CDS index: A mixed copula approach, submitted on 14.08.2015 (slides)
• Degtiarenko, F., and Okhrin, O., Levy copulae for stock returns, under revision from 20.10.2015
• Khakimova, D., Wende, D., Wiesmeth, H., Lösch, S., Okhrin, O., Index of Environmental Awareness In Russia: A MIMIC Approach, submitted on 16.11.2015 (slides)
• Nepp, A., Larionova, V., Okhrin, O., Sesekin, A., Optimal Pension System: the Case of Russia, submitted on 31.01.2016