Ostap Okhrin
Ostap Okhrin
Verified email at tu-dresden.de - Homepage
Title
Cited by
Cited by
Year
On the structure and estimation of hierarchical Archimedean copulas
O Okhrin, Y Okhrin, W Schmid
Journal of Econometrics 173 (2), 189-204, 2013
179*2013
Properties of hierarchical Archimedean copulas
O Okhrin, Y Okhrin, W Schmid
Statistics & Risk Modeling 30 (1), 21-54, 2013
83*2013
Systemic weather risk and crop insurance: the case of China
O Okhrin, M Odening, W Xu
Journal of Risk and Insurance 80 (2), 351-372, 2013
742013
On the systemic nature of weather risk
W Xu, G Filler, M Odening, O Okhrin
Agricultural Finance Review, 2010
69*2010
Hierarchical Archimedean copulae: the HAC package
O Okhrin, A Ristig
SFB 649 Discussion Paper, 2012
592012
Managing risk with a realized copula parameter
MR Fengler, O Okhrin
Computational Statistics & Data Analysis 100, 131-152, 2016
37*2016
Valuation of collateralized debt obligations with hierarchical Archimedean copulae
B Choroś-Tomczyk, WK Härdle, O Okhrin
Journal of Empirical Finance 24, 42-62, 2013
36*2013
De copulis non est disputandum
WK Härdle, O Okhrin
AStA Advances in Statistical Analysis 94 (1), 1-31, 2010
342010
Goodness-of-fit test for specification of semiparametric copula dependence models
S Zhang, O Okhrin, QM Zhou, PXK Song
Journal of Econometrics 193 (1), 215-233, 2016
312016
Dynamic structured copula models
WK Härdle, O Okhrin, Y Okhrin
Statistics & Risk Modeling 30 (4), 361-388, 2013
28*2013
Conditional least squares and copulae in claims reserving for a single line of business
M Pešta, O Okhrin
Insurance: Mathematics and Economics 56, 28-37, 2014
232014
Efficient iterative maximum likelihood estimation of high-parameterized time series models
N Hautsch, O Okhrin, A Ristig
Available at SSRN 2385880, 2014
222014
Can expert knowledge compensate for data scarcity in crop insurance pricing?
Z Shen, M Odening, O Okhrin
European Review of Agricultural Economics 43 (2), 237-269, 2016
202016
Estimation procedures for exchangeable Marshall copulas with hydrological application
F Durante, O Okhrin
Stochastic environmental research and risk assessment 29 (1), 205-226, 2015
202015
Hidden Markov structures for dynamic copulae
WK Härdle, O Okhrin, W Wang
Econometric Theory, 981-1015, 2015
17*2015
Modelling the general dependence between commodity forward curves
M Zolotko, O Okhrin
Energy Economics 43, 284-296, 2014
172014
Localising temperature risk
WK Härdle, BL Cabrera, O Okhrin, W Wang
SFB 649 Discussion Paper 2011-001, 2010
15*2010
Modeling dependencies with copulae
W Härdle, O Okhrin, Y Okhrin
Applied Quantitative Finance, 3-36, 2009
15*2009
Adaptive local parametric estimation of crop yields: implications for crop insurance rate making
Z Shen, M Odening, O Okhrin
European Review of Agricultural Economics 45 (2), 173-203, 2018
132018
Flexible HAR model for realized volatility
F Audrino, C Huang, O Okhrin
Studies in Nonlinear Dynamics & Econometrics 23 (3), 2018
122018
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Articles 1–20