Yarema Okhrin

Available identifiers

zbMath Open okhrin.yaremaMaRDI QIDQ278052

List of research outcomes

Publication	Date of Publication	Type
Statistical Inference for the Expected Utility Portfolio in High Dimensions	2022-09-23	Paper
A multivariate volatility vine copula model	2022-02-24	Paper
https://portal.mardi4nfdi.de/entity/Q5205511	2019-12-12	Paper
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series	2019-11-22	Paper
Tail event driven networks of SIFIs	2019-04-26	Paper
GARCH processes and the phenomenon of misleading and unambiguous signals	2019-02-08	Paper
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO	2019-01-10	Paper
Determination and estimation of risk aversion coefficients	2018-11-07	Paper
Using information quality for volatility model combinations	2018-09-19	Paper
Behavior of EWMA type control charts for small smoothing parameters	2018-08-21	Paper
Bayesian estimation of the global minimum variance portfolio	2018-05-24	Paper
Basic Elements of Computational Statistics	2017-11-27	Paper
On the structure and estimation of hierarchical Archimedean copulas	2017-05-12	Paper
Distributional properties of portfolio weights	2016-05-02	Paper
Distribution of the product of a singular Wishart matrix and a normal vector	2016-02-24	Paper
Quality surveillance with EWMA control charts based on exact control limits	2015-08-03	Paper
Robust surveillance of covariance matrices using a single observation	2015-02-23	Paper
Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?	2014-01-31	Paper
Dynamic structured copula models	2014-01-22	Paper
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector	2014-01-13	Paper
Properties of hierarchical Archimedean copulas	2013-04-23	Paper
On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory	2012-09-01	Paper
Comparison of different estimation techniques for portfolio selection	2011-08-25	Paper
Nonparametric monitoring of equal predictive ability	2011-06-24	Paper
Surveillance of the covariance matrix based on the properties of the singular Wishart distribution	2010-04-01	Paper
Flexible shrinkage in portfolio selection	2009-08-07	Paper
Modeling Dependencies with Copulae	2008-12-01	Paper
Properties of the singular, inverse and generalized inverse partitioned Wishart distributions	2008-11-27	Paper
EWMA Charts for Multivariate Output: Some Stochastic Ordering Results	2008-10-28	Paper
ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS	2008-08-26	Paper
https://portal.mardi4nfdi.de/entity/Q3512772	2008-07-21	Paper
https://portal.mardi4nfdi.de/entity/Q3512773	2008-07-21	Paper
On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ	2008-01-18	Paper
Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich	2007-03-21	Paper
Tail behaviour of a general family of control charts	2004-03-08	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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