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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
2172013
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
1002013
Properties of hierarchical Archimedean copulas
O Okhrin, Y Okhrin, W Schmid
Statistics & Risk Modeling 30 (1), 21-54, 2013
89*2013
Hierarchical Archimedean copulae: the HAC package
O Okhrin, A Ristig
Journal of Statistical Software 58, 1-20, 2014
842014
On the systemic nature of weather risk
W Xu, G Filler, M Odening, O Okhrin
Agricultural Finance Review 70 (2), 267-284, 2010
812010
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
512016
Managing risk with a realized copula parameter
MR Fengler, O Okhrin
Computational Statistics & Data Analysis 100, 131-152, 2016
45*2016
Maximum-likelihood estimation using the zig-zag algorithm
N Hautsch, O Okhrin, A Ristig
Journal of Financial Econometrics 21 (4), 1346-1375, 2023
44*2023
De copulis non est disputandum: Copulae: an overview
WK Härdle, O Okhrin
AStA Advances in Statistical Analysis 94 (1), 1-31, 2010
412010
Valuation of collateralized debt obligations with hierarchical Archimedean copulae
B Choroś-Tomczyk, WK Härdle, O Okhrin
Journal of Empirical Finance 24, 42-62, 2013
39*2013
Hidden Markov structures for dynamic copulae
WK Härdle, O Okhrin, W Wang
Econometric Theory 31 (5), 981-1015, 2015
382015
Flexible HAR model for realized volatility
F Audrino, C Huang, O Okhrin
Studies in Nonlinear Dynamics & Econometrics 23 (3), 20170080, 2019
362019
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
342014
Copulae: An overview and recent developments
J Größer, O Okhrin
Wiley Interdisciplinary Reviews: Computational Statistics 14 (3), e1557, 2022
302022
Dynamic structured copula models
WK Härdle, O Okhrin, Y Okhrin
Statistics & Risk Modeling 30 (4), 361-388, 2013
30*2013
Calibrating Wiedemann-99 model parameters to trajectory data of mixed vehicular traffic
A Anil Chaudhari, KK Srinivasan, B Rama Chilukuri, M Treiber, O Okhrin
Transportation research record 2676 (1), 718-735, 2022
282022
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
282016
Infinitely stochastic micro reserving
M Maciak, O Okhrin, M Pešta
Insurance: Mathematics and Economics 100, 30-58, 2021
26*2021
gofCopula: Goodness-of-Fit tests for copulae
O Okhrin, S Trimborn, M Waltz
Available at SSRN 3560825, 2021
262021
Estimation procedures for exchangeable Marshall copulas with hydrological application
F Durante, O Okhrin
Stochastic Environmental Research and Risk Assessment 29, 205-226, 2015
232015
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Articles 1–20