Ostap Okhrin

Available identifiers

zbMath Open okhrin.ostapMaRDI QIDQ268744

List of research outcomes

Publication	Date of Publication	Type
Copulae: an overview and recent developments	2024-09-11	Paper
Hierarchical Archimedean copulas	2024-05-16	Paper
Penalized estimation of hierarchical Archimedean copula	2024-03-25	Paper
Copula modeling from Abe Sklar to the present day	2024-03-25	Paper
Distributional properties of continuous time processes: from CIR to bates	2023-11-15	Paper
Flexible HAR model for realized volatility	2023-04-17	Paper
Semiparametric estimation of the high-dimensional elliptical distribution	2023-03-17	Paper
Vulnerability-CoVaR: investigating the crypto-market	2022-09-30	Paper
Infinitely stochastic micro reserving	2021-10-19	Paper
Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation	2021-05-06	Paper
Optimal shrinkage estimator for high-dimensional mean vector	2019-03-21	Paper
De copulis non est disputandum. Copulae: an overview	2018-12-18	Paper
Managing risk with a realized copula parameter	2018-08-15	Paper
Basic Elements of Computational Statistics	2017-11-27	Paper
On the structure and estimation of hierarchical Archimedean copulas	2017-05-12	Paper
Lévy copulae for financial returns	2016-12-20	Paper
Modelling spatio-temporal variability of temperature	2016-08-12	Paper
Goodness-of-fit test for specification of semiparametric copula dependence models	2016-07-01	Paper
Goodness-of-fit test for specification of semiparametric copula dependence models	2016-05-18	Paper
HMM and HAC	2016-05-13	Paper
A semiparametric factor model for CDO surfaces dynamics	2016-04-15	Paper
HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE	2015-11-20	Paper
Conditional least squares and copulae in claims reserving for a single line of business	2015-01-28	Paper
Dynamic structured copula models	2014-01-22	Paper
Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series	2013-09-20	Paper
Properties of hierarchical Archimedean copulas	2013-04-23	Paper
On the generating functional of the special case of an \(S\)-stopped branching process	2012-07-16	Paper
Fitting High-Dimensional Copulae to Data	2012-01-10	Paper
Asymptotic behaviour of the S-stopped branching processes with countable state space	2009-02-28	Paper
Modeling Dependencies with Copulae	2008-12-01	Paper

Research outcomes over time

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