Ostap Okhrin

Humboldt University of Berlin - School of Business and Economics

Unter den Linden 6

Berlin, Berlin 10099

Germany

SCHOLARLY PAPERS

13

DOWNLOADS

135

CITATIONS

1

Scholarly Papers (13)

1.

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 affiliation not provided to SSRN
Downloads 55 (286,930)

Abstract:

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

2.

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 affiliation not provided to SSRN
Downloads 13 (391,511)

Abstract:

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

3.

Modeling Dependencies in Finance Using Copulae

SFB 649 Discussion Paper 2008-043
Number of pages: 38 Posted: 09 Jan 2017
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 0 (486,465)

Abstract:

Distribution functions, Dimension Reduction, Risk management, Statistical models

4.

Time Varying Hierarchical Archimedean Copulae

SFB 649 Discussion Paper 2010-018
Number of pages: 32 Posted: 09 Jan 2017
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 0 (514,527)
Citation 1

Abstract:

copula, multivariate distribution, Archimedean copula, adaptive estimation

5.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 0 (495,761)

Abstract:

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

6.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 0 (514,527)

Abstract:

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

7.

De Copulis Non Est Disputandum - Copulae: An Overview

SFB 649 Discussion Paper 2009-031
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 0 (522,606)

Abstract:

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

8.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 0 (500,248)

Abstract:

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

9.

HMM in Dynamic HAC Models

SFB 649 Discussion Paper 2012-001
Number of pages: 29 Posted: 07 Jan 2017
Wolfgang K. Härdle, Ostap Okhrin and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 0 (508,999)

Abstract:

Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution

10.

Hidden Markov Structures for Dynamic Copulae

Number of pages: 45 Posted: 02 Mar 2016
Wolfgang K. Härdle, Ostap Okhrin and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 0 (500,248)

Abstract:

Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution

11.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 0 (451,113)

Abstract:

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

12.

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

Abstract:

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

13.

Systemic Weather Risk and Crop Insurance: The Case of China

Journal of Risk and Insurance, Vol. 80, Issue 2, pp. 351-372, 2013
Number of pages: 22 Posted: 22 May 2013
Ostap Okhrin, Martin Odening and Wei Xu
Humboldt University of Berlin - School of Business and Economics, Humboldt University of Berlin and SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 0 (532,661)

Abstract: