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Ostap Okhrin

Personal Details

First Name:Ostap
Middle Name:
Last Name:Okhrin
Suffix:
RePEc Short-ID:pok24
[This author has chosen not to make the email address public]
http://lehre.wiwi.hu-berlin.de/Professuren/quantitativ/statistik/members/personalpages/o2

Affiliation

(34%) Center for Applied Statistics and Econometrics (CASE)
Humboldt-Universität Berlin

Berlin, Germany
http://www.case.hu-berlin.de/
RePEc:edi:cahubde (more details at EDIRC)

(33%) Sonderforschungsbereich 649: Ökonomisches Risiko
Wirtschaftswissenschaftliche Fakultät
Humboldt-Universität Berlin

Berlin, Germany
http://sfb649.wiwi.hu-berlin.de/
RePEc:edi:sohubde (more details at EDIRC)

(33%) Institut für Statistik und Ökonometrie (ISÖ)
Wirtschaftswissenschaftliche Fakultät
Humboldt-Universität Berlin

Berlin, Germany
http://ise.wiwi.hu-berlin.de/
RePEc:edi:ishubde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Fengler, Matthias & Okhrin, Ostap, 2012. "Realized Copula," Economics Working Paper Series 1214, University of St. Gallen, School of Economics and Political Science.
  2. Ostap Okhrin & Alexander Ristig, 2012. "Hierarchical Archimedean Copulae: The HAC Package," SFB 649 Discussion Papers SFB649DP2012-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Wolfgang Karl Härdle & Ostap Okhrin & Weining Wang, 2012. "HMM in dynamic HAC models," SFB 649 Discussion Papers SFB649DP2012-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2011. "Localising temperature risk," SFB 649 Discussion Papers SFB649DP2011-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Wei Xu & Ostap Okhrin & Martin Odening & Ji Cao, 2010. "Systemic Weather Risk and Crop Insurance: The Case of China," SFB 649 Discussion Papers SFB649DP2010-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Wolfgang Karl Härdle & Ostap Okhrin & Yarema Okhrin, 2010. "Time varying Hierarchical Archimedean Copulae," SFB 649 Discussion Papers SFB649DP2010-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Ostap Okhrin, 2010. "Fitting high-dimensional Copulae to Data," SFB 649 Discussion Papers SFB649DP2010-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  8. Barbara Choros & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO Pricing with Copulae," SFB 649 Discussion Papers SFB649DP2009-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  9. Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Guenther Filler & Martin Odening & Ostap Okhrin & Wei Xu, 2009. "On the Systemic Nature of Weather Risk," SFB 649 Discussion Papers SFB649DP2009-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  11. Ostap Okhrin & Yarema Okhrin & Wolfgang Schmid, 2009. "Properties of Hierarchical Archimedean Copulas," SFB 649 Discussion Papers SFB649DP2009-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Wolfgang Härdle & Ostap Okhrin, 2009. "De copulis non est disputandum - Copulae: An Overview," SFB 649 Discussion Papers SFB649DP2009-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  13. Wolfgang Härdle & Ostap Okhrin & Yarema Okhrin, 2008. "Modeling Dependencies in Finance using Copulae," SFB 649 Discussion Papers SFB649DP2008-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Articles

  1. Wei Xu & Guenther Filler & Martin Odening & Ostap Okhrin, 2010. "On the systemic nature of weather risk," Agricultural Finance Review, Emerald Group Publishing, vol. 70(2), pages 267-284, August.
  2. Wolfgang Härdle & Ostap Okhrin, 2010. "De copulis non est disputandum," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 1-31, March.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Fengler, Matthias & Okhrin, Ostap, 2012. "Realized Copula," Economics Working Paper Series 1214, University of St. Gallen, School of Economics and Political Science.

    Cited by:

    1. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
    2. De Lira Salvatierra, Irving & Patton, Andrew J., 2015. "Dynamic copula models and high frequency data," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 120-135.
    3. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, Open Access Journal, vol. 5(3), pages 1-3, July.
    4. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, Open Access Journal, vol. 5(2), pages 1-31, June.
    5. Thorsten Dickhaus & Jakob Gierl, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers SFB649DP2012-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  2. Ostap Okhrin & Alexander Ristig, 2012. "Hierarchical Archimedean Copulae: The HAC Package," SFB 649 Discussion Papers SFB649DP2012-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
    2. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
    3. Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
    4. Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück, 2015. "Conditional Systemic Risk with Penalized Copula," SFB 649 Discussion Papers SFB649DP2015-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Nathan Uyttendaele, 2018. "On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison," Computational Statistics, Springer, vol. 33(2), pages 1047-1070, June.
    6. Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.
    7. Pawlak, Jacek & Polak, John W. & Sivakumar, Aruna, 2017. "A framework for joint modelling of activity choice, duration, and productivity while travelling," Transportation Research Part B: Methodological, Elsevier, vol. 106(C), pages 153-172.
    8. ARAUJO ENCISO Sergio Rene & PIERALLI SIMONE & PEREZ DOMINGUEZ Ignacio, 2017. "Partial Stochastic Analysis with the Aglink-Cosimo Model: A Methodological Overview," JRC Working Papers JRC108837, Joint Research Centre (Seville site).
    9. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, Open Access Journal, vol. 5(2), pages 1-31, June.
    10. Natalia Tente & Natalja Von Westernhagen & Ulf Slopek, 2019. "M‐PRESS‐CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 1923-1961, October.
    11. Segers, Johan & Uyttendaele, Nathan, 2013. "Nonparametric estimation of the tree structure of a nested Archimedean copula," LIDAM Discussion Papers ISBA 2013009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V., 2015. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 206-226.
    13. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.

  3. Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2011. "Localising temperature risk," SFB 649 Discussion Papers SFB649DP2011-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Raffaele Fiocco & Carlo Scarpa, 2011. "The Regulation of Interdependent Markets," SFB 649 Discussion Papers SFB649DP2011-046, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012. "Econometric analysis of volatile art markets," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3091-3104.
    3. Enno Mammen & Christoph Rothe & Melanie Schienle, 2011. "Semiparametric Estimation with Generated Covariates," SFB 649 Discussion Papers SFB649DP2011-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Gökhan Cebiro˜glu & Ulrich Horst, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers SFB649DP2011-058, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Awdesch Melzer & Wolfgang K. Härdle & Brenda López Cabrera, 2017. "Pricing Green Financial Products," SFB 649 Discussion Papers SFB649DP2017-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu, 2011. "Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences," SFB 649 Discussion Papers SFB649DP2011-083, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. Bertrand, Aurelie & Hafner, Christian, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA 2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Santiago Moreno-Bromberg & Luca Taschini, 2011. "Pollution permits, Strategic Trading and Dynamic Technology Adoption," SFB 649 Discussion Papers SFB649DP2011-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    9. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
    10. Markus Bibinger, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers SFB649DP2011-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    11. Mechtenberg, Lydia & Münster, Johannes, 2012. "A strategic mediator who is biased in the same direction as the expert can improve information transmission," Economics Letters, Elsevier, vol. 117(2), pages 490-492.
    12. Ray-Bing Chen & Ying Chen & Wolfgang Härdle, 2011. "TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data," SFB 649 Discussion Papers SFB649DP2011-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    13. Dorothee Schneider, 2011. "The Labor Share: A Review of Theory and Evidence," SFB 649 Discussion Papers SFB649DP2011-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. Nikolaus Hautsch & Ruihong Huang, 2011. "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data," SFB 649 Discussion Papers SFB649DP2011-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    15. Johanna Kappus & Markus Reiß, 2011. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers SFB649DP2011-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    16. James E. Gentle & Wolfgang Karl Härdle & Yuichi Mori, 2011. "How Computational Statistics Became the Backbone of Modern Data Science," SFB 649 Discussion Papers SFB649DP2011-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    17. Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2016. "A consistent two-factor model for pricing temperature derivatives," Energy Economics, Elsevier, vol. 55(C), pages 112-126.
    18. Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2012. "Rollover risk, network structure and systemic financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1088-1100.
    19. Alexander Meyer-Gohde, 2011. "Monetary Policy, Determinacy, and the Natural Rate Hypothesis," SFB 649 Discussion Papers SFB649DP2011-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    20. Stephan Stahlschmidt & Helmut Tausendteufel & Wolfgang K. Härdle, 2011. "Bayesian Networks and Sex-related Homicides," SFB 649 Discussion Papers SFB649DP2011-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    21. Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2011. "Continuous Equilibrium under Base Preferences and Attainable Initial Endowments," SFB 649 Discussion Papers SFB649DP2011-082, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    22. Raffaele Fiocco & Mario Gilli, 2011. "Bargaining and Collusion in a Regulatory Model," SFB 649 Discussion Papers SFB649DP2011-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    23. Brenda López Cabrera, & Franziska Schulz,, 2013. "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers SFB649DP2013-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    24. Sven Tischer & Lutz Hildebrandt, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers SFB649DP2011-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    25. Gökhan Cebiro˜glu & Ulrich Horst, 2011. "We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size agai," SFB 649 Discussion Papers SFB649DP2011-057, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    26. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    27. Ulrich Bindseil & Philipp Johann König, 2011. "The economics of TARGET2 balances," SFB 649 Discussion Papers SFB649DP2011-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    28. Raffaele Fiocco, 2012. "Competition and regulation with product differentiation," Journal of Regulatory Economics, Springer, vol. 42(3), pages 287-307, December.
    29. Santiago Moreno-Bromberg & Traian A. Pirvu & Anthony Réveillac, 2011. "CRRA Utility Maximization under Risk Constraints," SFB 649 Discussion Papers SFB649DP2011-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    30. Wolfgang Härdle & Maria Osipenko, 2011. "Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers SFB649DP2011-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    31. Felix Naujokat & Ulrich Horst, 2011. "When to Cross the Spread: Curve Following with Singular Control," SFB 649 Discussion Papers SFB649DP2011-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    32. Markus Reiß & Yves Rozenholc & Charles A. Cuenod, 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers SFB649DP2011-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    33. Alena MyÅ¡iÄ ková & Song Song & Piotr Majer & Peter N.C. Mohr & Hauke R. Heekeren & Wolfgang K. Härdle, 2011. "Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers SFB649DP2011-085, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    34. Xiaofeng Cao & Ostap Okhrin & Martin Odening & Matthias Ritter, 2015. "Modelling spatio-temporal variability of temperature," Computational Statistics, Springer, vol. 30(3), pages 745-766, September.
    35. Dirk Hofmann & Salmai Qari, 2011. "The Law of Attraction: Bilateral Search and Horizontal Heterogeneity," SFB 649 Discussion Papers SFB649DP2011-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    36. Markus Bibinger, 2011. "Asymptotics of Asynchronicity," SFB 649 Discussion Papers SFB649DP2011-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    37. Juliane Scheffel, 2011. "Compensation of Unusual Working Schedules," SFB 649 Discussion Papers SFB649DP2011-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    38. Gregor Heyne & Michael Kupper & Christoph Mainberger, 2011. "Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators," SFB 649 Discussion Papers SFB649DP2011-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  4. Wei Xu & Ostap Okhrin & Martin Odening & Ji Cao, 2010. "Systemic Weather Risk and Crop Insurance: The Case of China," SFB 649 Discussion Papers SFB649DP2010-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Nicole Wiebach & Lutz Hildebrandt, 2010. "Context Effects as Customer Reaction on Delisting of Brands," SFB 649 Discussion Papers SFB649DP2010-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Ceballos, Francisco, 2016. "Estimating spatial basis risk in rainfall index insurance: Methodology and application to excess rainfall insurance in Uruguay," IFPRI discussion papers 1595, International Food Policy Research Institute (IFPRI).
    3. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    4. Christian Biener & Martin Eling & Shailee Pradhan, 2015. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2013 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 18(1), pages 129-141, March.
    5. Christian Basteck & Tijmen R. Daniëls, 2010. "Every Symmetric 3 x 3 Global Game of Strategic Complementarities Is Noise Independent," SFB 649 Discussion Papers SFB649DP2010-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Sheng, Di & Lambert, Dayton M. & Hellwinckel, Chad, 2016. "A Copula-based Approach to Simulate Climate Impacts on Yield: Some Preliminary Findings," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 230006, Southern Agricultural Economics Association.
    7. Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück, 2015. "Conditional Systemic Risk with Penalized Copula," SFB 649 Discussion Papers SFB649DP2015-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Zhiwei Shen & Martin Odening & Ostap Okhrin, 2013. "Can expert knowledge compensate for data scarcity in crop insurance pricing?," SFB 649 Discussion Papers SFB649DP2013-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    9. Enno Mammen & Christoph Rothe & Melanie Schienle, 2010. "Nonparametric Regression with Nonparametrically Generated Covariates," SFB 649 Discussion Papers SFB649DP2010-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Awondo, Sebastain N., 2019. "Efficiency of region-wide catastrophic weather risk pools: Implications for African Risk Capacity insurance program," Journal of Development Economics, Elsevier, vol. 136(C), pages 111-118.
    11. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
    12. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    13. Lu Zong & Manuela Ender, 2016. "Spatially-Aggregated Temperature Derivatives: Agricultural Risk Management in China," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(3), pages 1-17, September.
    14. Wu, Yang-Che, 2020. "Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 116-128.
    15. Zhiwei Shen & Martin Odening, 2013. "Coping with systemic risk in index-based crop insurance," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 1-13, January.
    16. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    17. Franziska Schulze, 2010. "Spatial Dependencies in German Matching Functions," SFB 649 Discussion Papers SFB649DP2010-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    18. Gong, Xuche & Feng, Hongli & Hennessy, David A., 2018. "Systemic Risk, Geography and Area Insurance," 2018 Annual Meeting, August 5-7, Washington, D.C. 274479, Agricultural and Applied Economics Association.
    19. Ying-Erh Chen & Barry K Goodwin, 2015. "Policy Design of Multi-Year Crop Insurance Contracts with Partial Payments," PLOS ONE, Public Library of Science, vol. 10(12), pages 1-15, December.
    20. Xiaofeng Cao & Ostap Okhrin & Martin Odening & Matthias Ritter, 2015. "Modelling spatio-temporal variability of temperature," Computational Statistics, Springer, vol. 30(3), pages 745-766, September.
    21. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
    22. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    23. Franziska Gaupp & Georg Pflug & Stefan Hochrainer‐Stigler & Jim Hall & Simon Dadson, 2017. "Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools," Risk Analysis, John Wiley & Sons, vol. 37(11), pages 2212-2228, November.
    24. Xiaotao Li & Jinzheng Ren & Beibei Niu & Haiping Wu, 2020. "Grain Area Yield Index Insurance Ratemaking Based on Time–Space Risk Adjustment in China," Sustainability, MDPI, Open Access Journal, vol. 12(6), pages 1-15, March.
    25. Yuehua Zhang & Ying Cao & H. Holly Wang, 2018. "Cheating? The Case of Producers’ Under‐Reporting Behavior in Hog Insurance in China," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 66(3), pages 489-510, September.

  5. Wolfgang Karl Härdle & Ostap Okhrin & Yarema Okhrin, 2010. "Time varying Hierarchical Archimedean Copulae," SFB 649 Discussion Papers SFB649DP2010-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
    2. Matthias R. Fengler & Ostap Okhrin, 2012. "Realized Copula," SFB 649 Discussion Papers SFB649DP2012-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    4. Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle, 2012. "Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series," SFB 649 Discussion Papers SFB649DP2012-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  6. Ostap Okhrin, 2010. "Fitting high-dimensional Copulae to Data," SFB 649 Discussion Papers SFB649DP2010-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    2. Maria Grith & Volker Krätschmer, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers SFB649DP2010-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  7. Barbara Choros & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO Pricing with Copulae," SFB 649 Discussion Papers SFB649DP2009-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Michal Grajek & Lars-Hendrik Röller, 2009. "Regulation and investment in network industries: Evidence from European telecoms," ESMT Research Working Papers ESMT-09-004, ESMT European School of Management and Technology.
    2. Maria Grith & Wolfgang Härdle & Juhyun Park, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers SFB649DP2009-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    4. Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  8. Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Barbara Choros-Tomczyk & Wolfgang Karl Härdle & Ludger Overbeck, 2012. "Copula Dynamics in CDOs," SFB 649 Discussion Papers SFB649DP2012-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Michal Grajek & Lars-Hendrik Röller, 2009. "Regulation and investment in network industries: Evidence from European telecoms," ESMT Research Working Papers ESMT-09-004, ESMT European School of Management and Technology.
    3. Maria Grith & Wolfgang Härdle & Juhyun Park, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers SFB649DP2009-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.

  9. Guenther Filler & Martin Odening & Ostap Okhrin & Wei Xu, 2009. "On the Systemic Nature of Weather Risk," SFB 649 Discussion Papers SFB649DP2009-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    2. Ritter, Matthias & Musshoff, Oliver & Odening, Martin, 2012. "Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122527, European Association of Agricultural Economists.
    3. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
    4. Raushan Bokusheva, 2011. "Measuring dependence in joint distributions of yield and weather variables," Agricultural Finance Review, Emerald Group Publishing, vol. 71(1), pages 120-141, May.
    5. Liu, Xiaoliang & Xu, Wei & Odening, Martin, 2010. "Lassen Sich Ertragsrisiken In Der Landwirtschaft Global Diversifizieren?," 50th Annual Conference, Braunschweig, Germany, September 29-October 1, 2010 93955, German Association of Agricultural Economists (GEWISOLA).
    6. Buchholz, Matthias & Musshoff, Oliver, 2014. "The role of weather derivatives and portfolio effects in agricultural water management," 2014 Conference (58th), February 4-7, 2014, Port Macquarie, Australia 165812, Australian Agricultural and Resource Economics Society.
    7. Michal Grajek & Lars-Hendrik Röller, 2009. "Regulation and investment in network industries: Evidence from European telecoms," ESMT Research Working Papers ESMT-09-004, ESMT European School of Management and Technology.
    8. Chung, Wonho, 2013. "Reducing the Social Cost of Federal Crop Insurance: A Role for US Government Hedging with Weather Derivatives," Journal of Rural Development/Nongchon-Gyeongje, Korea Rural Economic Institute, vol. 36(2), pages 1-26, August.
    9. Maria Grith & Wolfgang Härdle & Juhyun Park, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers SFB649DP2009-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Ostap Okhrin, 2010. "Fitting high-dimensional Copulae to Data," SFB 649 Discussion Papers SFB649DP2010-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    11. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    12. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    13. Zhiwei Shen & Martin Odening, 2013. "Coping with systemic risk in index-based crop insurance," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 1-13, January.
    14. Bokusheva, Raushan, 2010. "Measuring the dependence structure between yield and weather variables," MPRA Paper 22786, University Library of Munich, Germany.
    15. Schulte-Geers, Matthias & Berg, Ernst, 2011. "Modelling farm production risk with copulae instead of correlations," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115996, European Association of Agricultural Economists.
    16. Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    17. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    18. Franziska Gaupp & Georg Pflug & Stefan Hochrainer‐Stigler & Jim Hall & Simon Dadson, 2017. "Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools," Risk Analysis, John Wiley & Sons, vol. 37(11), pages 2212-2228, November.

  10. Ostap Okhrin & Yarema Okhrin & Wolfgang Schmid, 2009. "Properties of Hierarchical Archimedean Copulas," SFB 649 Discussion Papers SFB649DP2009-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Göran Kauermann & Christian Schellhase & David Ruppert, 2013. "Flexible Copula Density Estimation with Penalized Hierarchical B-splines," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 685-705, December.
    2. Göran Kauermann & Renate Meyer, 2014. "Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas," Computational Statistics, Springer, vol. 29(1), pages 283-306, February.
    3. Osama Ahmed & Teresa Serra, 2015. "Economic analysis of the introduction of agricultural revenue insurance contracts in Spain using statistical copulas," Agricultural Economics, International Association of Agricultural Economists, vol. 46(1), pages 69-79, January.
    4. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
    5. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
    6. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
    7. Michal Grajek & Lars-Hendrik Röller, 2009. "Regulation and investment in network industries: Evidence from European telecoms," ESMT Research Working Papers ESMT-09-004, ESMT European School of Management and Technology.
    8. Maria Grith & Wolfgang Härdle & Juhyun Park, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers SFB649DP2009-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    9. Shulin Zhang, & Ostap Okhrin, & Qian M. Zhou & Peter X.-K. Song, 2013. "Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models," SFB 649 Discussion Papers SFB649DP2013-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
    11. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    12. Ostap Okhrin & Alexander Ristig, 2012. "Hierarchical Archimedean Copulae: The HAC Package," SFB 649 Discussion Papers SFB649DP2012-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    13. Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle, 2012. "Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series," SFB 649 Discussion Papers SFB649DP2012-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015. "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance 1513, University of St. Gallen, School of Finance.
    15. Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  11. Wolfgang Härdle & Ostap Okhrin, 2009. "De copulis non est disputandum - Copulae: An Overview," SFB 649 Discussion Papers SFB649DP2009-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Fabrizio Durante & Roberto Ghiselli-Ricci, 2012. "Supermigrative copulas and positive dependence," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 327-342, July.
    2. Michal Grajek & Lars-Hendrik Röller, 2009. "Regulation and investment in network industries: Evidence from European telecoms," ESMT Research Working Papers ESMT-09-004, ESMT European School of Management and Technology.
    3. Christian Schellhase & Torben Kuhlenkasper, 2017. "Semi-parametric estimation of income mobility with D‑vines using bivariate penalised splines," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 11(2), pages 107-134, October.
    4. Maria Grith & Wolfgang Härdle & Juhyun Park, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers SFB649DP2009-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    6. Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. Thorsten Dickhaus & Jakob Gierl, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers SFB649DP2012-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.

  12. Wolfgang Härdle & Ostap Okhrin & Yarema Okhrin, 2008. "Modeling Dependencies in Finance using Copulae," SFB 649 Discussion Papers SFB649DP2008-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Raushan Bokusheva, 2011. "Measuring dependence in joint distributions of yield and weather variables," Agricultural Finance Review, Emerald Group Publishing, vol. 71(1), pages 120-141, May.
    2. Liu, Xiaoliang & Xu, Wei & Odening, Martin, 2010. "Lassen Sich Ertragsrisiken In Der Landwirtschaft Global Diversifizieren?," 50th Annual Conference, Braunschweig, Germany, September 29-October 1, 2010 93955, German Association of Agricultural Economists (GEWISOLA).
    3. Xu, Wei & Filler, Gunther & Odening, Martin & Okhrin, Ostap, 2009. "On the Systemic Nature of Weather Risk," 2009 Conference, August 16-22, 2009, Beijing, China 51426, International Association of Agricultural Economists.
    4. Matthias R. Fengler & Ostap Okhrin, 2012. "Realized Copula," SFB 649 Discussion Papers SFB649DP2012-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Articles

  1. Wei Xu & Guenther Filler & Martin Odening & Ostap Okhrin, 2010. "On the systemic nature of weather risk," Agricultural Finance Review, Emerald Group Publishing, vol. 70(2), pages 267-284, August.
    See citations under working paper version above.
  2. Wolfgang Härdle & Ostap Okhrin, 2010. "De copulis non est disputandum," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 1-31, March.

    Cited by:

    1. Göran Kauermann & Renate Meyer, 2014. "Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas," Computational Statistics, Springer, vol. 29(1), pages 283-306, February.
    2. Hashorva, Enkelejd & Jaworski, Piotr, 2012. "Gaussian approximation of conditional elliptical copulas," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 397-407.
    3. André Neumann & Thorsten Dickhaus, 2020. "Nonparametric Archimedean generator estimation with implications for multiple testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(2), pages 309-323, June.
    4. Tinkl, Fabian & Reichert, Katja, 2011. "Dynamic copula-based Markov chains at work: Theory, testing and performance in modeling daily stock returns," FAU Discussion Papers in Economics 09/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (7) 2008-06-27 2009-01-17 2009-04-18 2009-05-02 2009-06-17 2010-11-13 2012-05-29. Author is listed
  2. NEP-ECM: Econometrics (6) 2008-06-27 2009-04-18 2009-06-17 2010-02-27 2010-04-24 2012-05-29. Author is listed
  3. NEP-IAS: Insurance Economics (3) 2009-01-17 2009-05-02 2010-11-13
  4. NEP-AGR: Agricultural Economics (2) 2009-05-02 2010-11-13
  5. NEP-FMK: Financial Markets (1) 2009-04-18
  6. NEP-MST: Market Microstructure (1) 2012-01-18
  7. NEP-TRA: Transition Economics (1) 2010-11-13
  8. NEP-UPT: Utility Models & Prospect Theory (1) 2009-07-28

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