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Yarema Okhrin
Yarema Okhrin
Verified email at wiwi.uni-augsburg.de - Homepage
Title
Cited by
Cited by
Year
Distributional properties of portfolio weights
Y Okhrin, W Schmid
Journal of econometrics 134 (1), 235-256, 2006
2582006
On the structure and estimation of hierarchical Archimedean copulas
O Okhrin, Y Okhrin, W Schmid
Journal of Econometrics 173 (2), 189-204, 2013
1992013
Bayesian estimation of the global minimum variance portfolio
T Bodnar, S Mazur, Y Okhrin
European Journal of Operational Research 256 (1), 292-307, 2017
902017
Multivariate shrinkage for optimal portfolio weights
V Golosnoy, Y Okhrin
The European Journal of Finance 13 (5), 441-458, 2007
812007
Tail event driven networks of SIFIs
CYH Chen, WK Härdle, Y Okhrin
Journal of Econometrics 208 (1), 282-298, 2019
772019
Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
T Bodnar, Y Okhrin
Journal of Multivariate Analysis 99 (10), 2389-2405, 2008
742008
Properties of hierarchical Archimedean copulas
O Okhrin, Y Okhrin, W Schmid
Statistics & Risk Modeling 30 (1), 21-54, 2013
602013
On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
T Bodnar, Y Okhrin
Scandinavian Journal of Statistics 38 (2), 311-331, 2011
452011
General uncertainty in portfolio selection: A case-based decision approach
V Golosnoy, Y Okhrin
Journal of Economic Behavior & Organization 67 (3-4), 718-734, 2008
432008
Optimal shrinkage-based portfolio selection in high dimensions
T Bodnar, Y Okhrin, N Parolya
Journal of Business & Economic Statistics 41 (1), 140-156, 2022
372022
Uniform confidence bands for pricing kernels
WK Härdle, Y Okhrin, W Wang
Journal of Financial Econometrics 13 (2), 376-413, 2015
352015
Flexible shrinkage in portfolio selection
V Golosnoy, Y Okhrin
Journal of Economic Dynamics and Control 33 (2), 317-328, 2009
342009
Properties of hierarchical Archimedean copulas
O Okhrin, Y Okhrin, W Schmid
Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2009
292009
Determination and estimation of risk aversion coefficients
T Bodnar, Y Okhrin, V Vitlinskyy, T Zabolotskyy
Computational management science 15, 297-317, 2018
282018
Distribution of the product of a singular Wishart matrix and a normal vector
T Bodnar, S Mazur, Y Okhrin
Theory of Probability and Mathematical Statistics 91, 1-15, 2015
282015
Surveillance of univariate and multivariate linear time series
Y Okhrin, W Schmid
Financial surveillance, 115-152, 2007
272007
The empirical similarity approach for volatility prediction
V Golosnoy, A Hamid, Y Okhrin
Journal of Banking & Finance 40, 321-329, 2014
262014
Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio?
T Bodnar, Y Okhrin
Applied Mathematics and Computation 219 (10), 5440-5448, 2013
262013
Comparison of different estimation techniques for portfolio selection
Y Okhrin, W Schmid
AStA Advances in Statistical Analysis 91, 109-127, 2007
232007
Bayesian inference for the tangent portfolio
D Bauder, T Bodnar, S Mazur, Y Okhrin
International Journal of Theoretical and Applied Finance 21 (08), 1850054, 2018
222018
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