Ostap Okhrin

Available identifiers

zbMath Open okhrin.ostapMaRDI QIDQ268744

List of research outcomes

Publication	Date of Publication	Type
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 S-Stopped Branching Processes	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

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Ostap Okhrin