Ostap Okhrin

Humboldt University of Berlin - School of Business and Economics

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

13

DOWNLOADS

1,157

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Scholarly Papers (13)

1.

gofCopula: Goodness-of-Fit Tests for Copulae

Number of pages: 43 Posted: 20 Apr 2020 Last Revised: 28 Apr 2021
Ostap Okhrin, Simon Trimborn and Martin Waltz
Humboldt University of Berlin - School of Business and Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and Dresden University of Technology
Downloads 316 (179,203)

Abstract:

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Goodness-of-Fit tests, copula, R-package

2.

CDO Pricing with Copulae

SFB 649 Discussion Paper 2009-013
Number of pages: 12 Posted: 09 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 103 (480,395)

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CDO, CDS, multifactor models, multivariate distributions, Copulae, correlation smile

3.

Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

SFB 649 Discussion Paper No. 2012-054
Number of pages: 16 Posted: 25 Aug 2013
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - School of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 99 (493,374)

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vector multiplicative error model, copula, time-varying copula, high-frequency data

4.

Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models

Number of pages: 32 Posted: 01 Oct 2014
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - School of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 97 (500,077)
Citation 1

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Multi-Step estimation, Sparse estimation, Multivariate time series, Maximum likelihood estimation, Copula

5.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 91 (520,907)

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weather derivatives, localising temperature residuals, seasonality, local model selection

6.

CDO and HAC

SFB 649 Discussion Paper 2009-038
Number of pages: 40 Posted: 09 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 81 (559,444)

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CDO, CDS, multivariate distributions, Copulae, correlation smile, loss given default

7.

A Semiparametric Factor Model for CDO Surfaces Dynamics

Journal of Multivariate Analysis, September 2015
Number of pages: 13 Posted: 20 Feb 2016 Last Revised: 06 Jun 2016
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 74 (589,274)

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CDO, Curve trade, Dynamic factor model, semiparametric model, Surfaces dynamics

8.

Modeling Dependencies in Finance Using Copulae

SFB 649 Discussion Paper 2008-043
Number of pages: 38 Posted: 09 Jan 2017
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 69 (612,126)

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Distribution functions, Dimension Reduction, Risk management, Statistical models

9.

Time Varying Hierarchical Archimedean Copulae

SFB 649 Discussion Paper 2010-018
Number of pages: 32 Posted: 09 Jan 2017
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 67 (621,583)
Citation 12

Abstract:

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copula, multivariate distribution, Archimedean copula, adaptive estimation

10.

HMM in Dynamic HAC Models

SFB 649 Discussion Paper 2012-001
Number of pages: 29 Posted: 07 Jan 2017
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 59 (662,835)
Citation 1

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Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution

11.

Hidden Markov Structures for Dynamic Copulae

Number of pages: 45 Posted: 02 Mar 2016
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 56 (679,420)

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Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution

12.

De Copulis Non Est Disputandum - Copulae: An Overview

SFB 649 Discussion Paper 2009-031
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Ostap Okhrin
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 45 (747,444)
Citation 2

Abstract:

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copula, multivariate distribution, value-at-risk, multivariate dependence

13.

Managing Risk with a Realized Copula Parameter

Computational Statistics & Data Analysis, Vol. 100, pp. 131-152, 2016
Posted: 27 Apr 2015 Last Revised: 29 Jun 2016
Matthias R. Fengler and Ostap Okhrin
University of St. Gallen - School of Economics and Political Science and Humboldt University of Berlin - School of Business and Economics

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realized variance, realized covariance, multivariate dependence, value at risk