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Viktor Tsyrennikov

Personal Details

First Name:Viktor
Middle Name:
Last Name:Tsyrennikov
Suffix:
RePEc Short-ID:pts34
https://sites.google.com/site/vtsyrennikov
Terminal Degree:2007 Department of Economics; New York University (NYU) (from RePEc Genealogy)

Affiliation

Research Department
International Monetary Fund (IMF)

Washington, District of Columbia (United States)
http://www.imf.org/research

: (202) 623-7000
(202) 589-8493
700 19th Street, N.W., Washington DC 20431
RePEc:edi:rdimfus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Rarytska, Olena & Tsyrennikov, Viktor, 2016. "Capital Flows, Beliefs, and Capital Controls," Working Papers 250031, Cornell University, Department of Applied Economics and Management.
  2. Blume, Lawrence E. & Cogley, Timothy & Easley, David A. & Sargent, Thomas J. & Tsyrennikov, Viktor, 2015. "A Case for Incomplete Markets," Economics Series 313, Institute for Advanced Studies.
  3. Viktor Tsyrennikov, 2015. "Investment, speculation, and financial regulation," 2015 Meeting Papers 627, Society for Economic Dynamics.
  4. Boyan Jovanovic & Viktor Tsyrennikov, 2014. "Trading on Sunspots," NBER Working Papers 20813, National Bureau of Economic Research, Inc.
  5. Cristina Arellano & Lilia Maliar & Serguei Maliar & Viktor Tsyrennikov, 2014. "Envelope Condition Method with an Application to Default Risk Models," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-04, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  6. Katrin Rabitsch & Serhiy Stepanchuk & Viktor Tsyrennikov, 2014. "International Portfolios: A Comparison of Solution Methods," Department of Economics Working Papers wuwp159, Vienna University of Economics and Business, Department of Economics.
  7. Viktor Tsyrennikov & Timothy Cogley & Thomas Sargent & David Easley & Lawrence Blume, 2014. "The Case for Incomplete Markets," 2014 Meeting Papers 1098, Society for Economic Dynamics.
  8. Viktor Tsyrennikov & Thomas Sargent & Timothy Cogley, 2012. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," 2012 Meeting Papers 1079, Society for Economic Dynamics.
  9. Viktor Tsyrennikov & Sergiy Stepanchuk, 2010. "Stationary Equilibria in International Portfolio Choice Model," 2010 Meeting Papers 1301, Society for Economic Dynamics.
  10. Viktor Tsyrennikov, 2007. "Capital Flows and Moral Hazard," 2007 Meeting Papers 455, Society for Economic Dynamics.
  11. Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004. "Efficient Estimation of Semiparametric Multivariate Copula Models," Vanderbilt University Department of Economics Working Papers 0420, Vanderbilt University Department of Economics.

Articles

  1. Arellano, Cristina & Maliar, Lilia & Maliar, Serguei & Tsyrennikov, Viktor, 2016. "Envelope condition method with an application to default risk models," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 436-459.
  2. Timothy COGLEY & Thomas J. SARGENT & Viktor TSYRENNIKOV, 2015. "Asset Princes and Wealth Dynamics with Heterogeneous Beliefs - Varlýk Fiyatlarý ve Heterojen Düþünceler ile Servet Dinamikleri," Journal of Economics Bibliography, KSP Journals, vol. 2(1), pages 29-34, March.
  3. Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "Portfolio and welfare consequences of debt market dominance," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 89-101.
  4. Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "International portfolios: A comparison of solution methods," Journal of International Economics, Elsevier, vol. 97(2), pages 404-422.
  5. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2014. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," Economic Journal, Royal Economic Society, vol. 124(575), pages 1-30, March.
  6. Tsyrennikov, Viktor, 2013. "Capital flows under moral hazard," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 92-108.
  7. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2012. "Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes," American Economic Review, American Economic Association, vol. 102(3), pages 141-146, May.
  8. Viktor Tsyrennikov, 2012. "Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default," American Economic Review, American Economic Association, vol. 102(3), pages 156-160, May.
  9. Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.

Software components

  1. Cristina Arelano & Lilia Maliar & Serguei Maliar & Viktor Tsyrennikov, 2016. "Envelope Condition Method (ECM) in comparison with other solution methods for the neoclassical growth model with inelastic labor supply in "Envelope Condition Method with an Application to Defaul," QM&RBC Codes 203, Quantitative Macroeconomics & Real Business Cycles.

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. Blume, Lawrence E. & Cogley, Timothy & Easley, David A. & Sargent, Thomas J. & Tsyrennikov, Viktor, 2015. "A Case for Incomplete Markets," Economics Series 313, Institute for Advanced Studies.

    Cited by:

    1. Takashi Hayashi & Michele Lombardi, 2016. "Social decision under uncertainty and responsibility for beliefs," Working Papers 2016_19, Business School - Economics, University of Glasgow.
    2. Patrick Beissner & Frank Riedel, 2016. "Knight--Walras Equilibria," Papers 1605.04385, arXiv.org.
    3. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    4. Mongin, Philippe & Pivato, Marcus, 2016. "Social Preference Under Twofold Uncertainty," Les Cahiers de Recherche 1154, HEC Paris.
    5. Crès, Hervé & Tvede, Mich, 2018. "Regulation of trades based on differences in beliefs," European Economic Review, Elsevier, vol. 101(C), pages 133-141.
    6. Maurizio MOTOLESE & NAKATA Hiroyuki, 2016. "Endogenous Fluctuations and Social Welfare under Credit Constraints and Heterogeneous Beliefs," Discussion papers 16082, Research Institute of Economy, Trade and Industry (RIETI).

  2. Cristina Arellano & Lilia Maliar & Serguei Maliar & Viktor Tsyrennikov, 2014. "Envelope Condition Method with an Application to Default Risk Models," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-04, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.

    Cited by:

    1. Lilia Maliar & Serguei Maliar, 2016. "Ruling Out Multiplicity of Smooth Equilibria in Dynamic Games: A Hyperbolic Discounting Example," Dynamic Games and Applications, Springer, vol. 6(2), pages 243-261, June.
    2. Willi Semmler & Christian R. Proaño, 2015. "Escape Routes from Sovereign Default Risk in the Euro Area," International Symposia in Economic Theory and Econometrics,in: Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons, volume 24, pages 163-193 Emerald Publishing Ltd.
    3. Lilia Maliar & Serguei Maliar & John B. Taylor & Inna Tsener, 2015. "A Tractable Framework for Analyzing a Class of Nonstationary Markov Models," Economics Working Papers 15105, Hoover Institution, Stanford University.
    4. Serguei Maliar & John Taylor & Lilia Maliar, 2016. "The Impact of Alternative Transitions to Normalized Monetary Policy," 2016 Meeting Papers 794, Society for Economic Dynamics.

  3. Katrin Rabitsch & Serhiy Stepanchuk & Viktor Tsyrennikov, 2014. "International Portfolios: A Comparison of Solution Methods," Department of Economics Working Papers wuwp159, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Michael Siemer & Adrien Verdelhan & Francois Gourio, 2015. "Uncertainty and International Capital Flows," 2015 Meeting Papers 880, Society for Economic Dynamics.
    2. Rabitsch, Katrin & Stepanchuk, Serhiy, 2014. "A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods," Department of Economics Working Paper Series 4076, WU Vienna University of Economics and Business.
    3. Katrin Rabitsch & Serhiy Stepanchuk, 2014. "A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods," Department of Economics Working Papers wuwp162, Vienna University of Economics and Business, Department of Economics.
    4. Gavazzoni, Federico & Santacreu, Ana Maria, 2015. "International R&D Spillovers and Asset Prices," Working Papers 2015-41, Federal Reserve Bank of St. Louis.
    5. Grzegorz R. Dlugoszek, 2016. "Solving DSGE Portfolio Choice Models with Asymmetric Countries," SFB 649 Discussion Papers SFB649DP2016-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Tommaso Trani, 2012. "Country Portfolios with Heterogeneous Pledgeability," IHEID Working Papers 02-2012, Economics Section, The Graduate Institute of International Studies, revised 12 Feb 2012.
    7. Eugeni, Sara, 2015. "Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects," MPRA Paper 63549, University Library of Munich, Germany.
    8. Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "Portfolio and welfare consequences of debt market dominance," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 89-101.
    9. Khalil, Makram, 2016. "Cross-Border Portfolio Diversification under Trade Linkages," Annual Conference 2016 (Augsburg): Demographic Change 145811, Verein für Socialpolitik / German Economic Association.
    10. Nicolas Coeurdacier & Hélène Rey & Pablo Winant, 2015. "Financial Integration and Growth in a Risky World," NBER Working Papers 21817, National Bureau of Economic Research, Inc.
    11. Colacito, Riccardo & Croce, Mariano Massimiliano & Gavazzoni, Federico & Ready, Robert, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers 12610, C.E.P.R. Discussion Papers.
    12. Jonathan J Adams & Philip Barrett, 2017. "Resolving International Macro Puzzles with Imperfect Risk Sharing and Global Solution Methods," Working Papers 001003, University of Florida, Department of Economics.

  4. Viktor Tsyrennikov & Timothy Cogley & Thomas Sargent & David Easley & Lawrence Blume, 2014. "The Case for Incomplete Markets," 2014 Meeting Papers 1098, Society for Economic Dynamics.

    Cited by:

    1. Eric Danan & Thibault Gajdos & Brian Hill & Jean-Marc Tallon, 2014. "Aggregating Tastes, Beliefs, and Attitudes under Uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01099032, HAL.
    2. Crès, Hervé & Tvede, Mich, 2018. "Regulation of trades based on differences in beliefs," European Economic Review, Elsevier, vol. 101(C), pages 133-141.
    3. Barlevy, Gadi, 2015. "Bubbles and Fools," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 54-76.
    4. Johan Walden & Christian Heyerdahl-Larsen, 2015. "Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs," 2015 Meeting Papers 124, Society for Economic Dynamics.

  5. Viktor Tsyrennikov & Thomas Sargent & Timothy Cogley, 2012. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," 2012 Meeting Papers 1079, Society for Economic Dynamics.

    Cited by:

    1. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2013. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," Working Papers 2013-23, Economic Research Institute, Bank of Korea.
    2. Rarytska, Olena & Tsyrennikov, Viktor, 2016. "Capital Flows, Beliefs, and Capital Controls," Working Papers 250031, Cornell University, Department of Applied Economics and Management.
    3. Pietro Dindo & Filippo Massari, 2017. "The Wisdom of the Crowd in Dynamic Economies," Working Papers 2017:17, Department of Economics, University of Venice "Ca' Foscari".
    4. Viktor Tsyrennikov, 2012. "Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default," American Economic Review, American Economic Association, vol. 102(3), pages 156-160, May.
    5. Blume, Lawrence E. & Cogley, Timothy & Easley, David A. & Sargent, Thomas J. & Tsyrennikov, Viktor, 2015. "A Case for Incomplete Markets," Economics Series 313, Institute for Advanced Studies.
    6. Viktor Tsyrennikov, 2015. "Investment, speculation, and financial regulation," 2015 Meeting Papers 627, Society for Economic Dynamics.
    7. Yili Chien & Harold Cole & Hanno Lustig, 2016. "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 215-239, April.
    8. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," Working Papers 2018:03, Department of Economics, University of Venice "Ca' Foscari".
    9. Acedański, Jan, 2017. "Heterogeneous expectations and the distribution of wealth," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 162-175.

  6. Viktor Tsyrennikov, 2007. "Capital Flows and Moral Hazard," 2007 Meeting Papers 455, Society for Economic Dynamics.

    Cited by:

    1. Koralai Kirabaeva & Assaf Razin, 2011. "Composition of International Capital Flows: A Survey," Working Papers 142011, Hong Kong Institute for Monetary Research.
    2. Koralai Kirabaeva & Assaf Razin, 2010. "Composition of Capital Flows: A Survey," NBER Working Papers 16492, National Bureau of Economic Research, Inc.

  7. Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004. "Efficient Estimation of Semiparametric Multivariate Copula Models," Vanderbilt University Department of Economics Working Papers 0420, Vanderbilt University Department of Economics.

    Cited by:

    1. Yichen Gao & Yu Zhang & Ximing Wu, 2015. "Penalized exponential series estimation of copula densities with an application to intergenerational dependence of body mass index," Empirical Economics, Springer, vol. 48(1), pages 61-81, February.
    2. Yeqian Liu & Tao Hu & Jianguo Sun, 0. "Regression analysis of current status data in the presence of a cured subgroup and dependent censoring," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 0, pages 1-25.
    3. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "A practical asymptotic variance estimator for two-step semiparametric estimators," CeMMAP working papers CWP22/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Discussion Paper 2008-40, Tilburg University, Center for Economic Research.
    5. Xiaohong Chen & Wei Biao Wu & Yanping Yi, 2009. "Efficient Estimation of Copula-based Semiparametric Markov Models," Cowles Foundation Discussion Papers 1691, Cowles Foundation for Research in Economics, Yale University, revised Mar 2009.
    6. Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
    7. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
    8. Prokhorov, Artem & Schmidt, Peter, 2009. "Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas," Journal of Econometrics, Elsevier, vol. 153(1), pages 93-104, November.
    9. Beatriz Vaz de Melo Mendes & Cecília Aíube, 2011. "Copula based models for serial dependence," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(1), pages 68-82, February.
    10. da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2013. "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics Discussion Papers 2013-52, Kiel Institute for the World Economy (IfW).
    11. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
    12. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K. & TAAMOUTI, Abderrahim, 2008. "Asymptotic properties of the Bernstein density copula for dependent data," CORE Discussion Papers 2008045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    13. Bilgrau, Anders Ellern & Eriksen, Poul Svante & Rasmussen, Jakob Gulddahl & Johnsen, Hans Erik & Dybkaer, Karen & Boegsted, Martin, 2016. "GMCM: Unsupervised Clustering and Meta-Analysis Using Gaussian Mixture Copula Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 70(i02).
    14. Ma, Ling & Hu, Tao & Sun, Jianguo, 2016. "Cox regression analysis of dependent interval-censored failure time data," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 79-90.
    15. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K., 2007. "Semiparametric multivariate density estimation for positive data using copulas," CORE Discussion Papers 2007054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    17. Einmahl, John H.J. & van den Akker, Ramon, 2011. "Superefficient estimation of the marginals by exploiting knowledge on the copula," Journal of Multivariate Analysis, Elsevier, vol. 102(9), pages 1315-1319, October.
    18. Kojadinovic, Ivan & Yan, Jun, 2010. "Comparison of three semiparametric methods for estimating dependence parameters in copula models," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 52-63, August.
    19. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Cowles Foundation Discussion Papers 1803, Cowles Foundation for Research in Economics, Yale University.
    20. Chu, Yu-Ming & Xia, Wei-Feng & Zhang, Xiao-Hui, 2012. "The Schur concavity, Schur multiplicative and harmonic convexities of the second dual form of the Hamy symmetric function with applications," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 412-421.
    21. Giacomini, Enzo & Härdle, Wolfgang & Spokoiny, Vladimir, 2009. "Inhomogeneous Dependence Modeling with Time-Varying Copulae," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 224-234.
    22. Lawless, Jerald F. & Yilmaz, Yildiz E., 2011. "Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2446-2455, July.
    23. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Penev, Spiridon I., 2008. "GeD spline estimation of multivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3570-3582, March.
    24. Schwiebert, Jörg, 2012. "Analyzing the Composition of the Female Workforce - A Semiparametric Copula Approach," Hannover Economic Papers (HEP) dp-503, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    25. Martin Burda & Artem Prokhorov, 2012. "Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models," Working Papers 12012, Concordia University, Department of Economics.
    26. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
    27. Chiburis, Richard C., 2010. "Semiparametric bounds on treatment effects," Journal of Econometrics, Elsevier, vol. 159(2), pages 267-275, December.
    28. Jörg Schwiebert, 2016. "Evidence on copula-based double-hurdle models with flexible margins," Empirical Economics, Springer, vol. 51(1), pages 245-289, August.
    29. Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
    30. Vatter, Thibault & Chavez-Demoulin, Valérie, 2015. "Generalized additive models for conditional dependence structures," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 147-167.
    31. Lorraine Dearden & Emla Fitzsimons & Alissa Goodman & Greg Kaplan, 2008. "The effects of higher education funding reforms on the lifetime incomes of graduates," CEE Discussion Papers 0078, Centre for the Economics of Education, LSE.
    32. Mai, Qing & Zou, Hui, 2015. "Sparse semiparametric discriminant analysis," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 175-188.
    33. Jeffrey Racine, 2015. "Mixed data kernel copulas," Empirical Economics, Springer, vol. 48(1), pages 37-59, February.
    34. Lorraine Dearden & Emla Fitzsimons & Alissa Goodman & Greg Kaplan, 2008. "Higher Education Funding Reforms in England: The Distributional Effects and the Shifting Balance of Costs," Economic Journal, Royal Economic Society, vol. 118(526), pages 100-125, February.
    35. Cheng, Guang & Zhou, Lan & Chen, Xiaohong & Huang, Jianhua Z., 2014. "Efficient estimation of semiparametric copula models for bivariate survival data," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 330-344.
    36. Katja Ignatieva & Eckhard Platen & Renata Rendek, 2010. "Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index," Research Paper Series 284, Quantitative Finance Research Centre, University of Technology, Sydney.
    37. Xiaohong Chen & Yanqin Fan & Demian Pouzo & Zhiliang Ying, 2008. "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship," Cowles Foundation Discussion Papers 1683, Cowles Foundation for Research in Economics, Yale University.
    38. Chen, Xuerong & Hu, Tao & Sun, Jianguo, 2017. "Sieve maximum likelihood estimation for the proportional hazards model under informative censoring," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 224-234.
    39. Chen, Jian & Peng, Liang & Zhao, Yichuan, 2009. "Empirical likelihood based confidence intervals for copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 137-151, January.
    40. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
    41. Yeqian Liu & Tao Hu & Jianguo Sun, 2017. "Regression analysis of current status data in the presence of a cured subgroup and dependent censoring," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 23(4), pages 626-650, October.
    42. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics,in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76 Elsevier.
    43. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
    44. Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
    45. Ostap Okhrin, 2010. "Fitting high-dimensional Copulae to Data," SFB 649 Discussion Papers SFB649DP2010-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    46. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    47. Manner Hans, 2007. "Estimation and Model Selection of Copulas with an Application to Exchange Rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    48. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, Elsevier.
    49. Bodnar, Olha & Bodnar, Taras & Gupta, Arjun K., 2010. "Estimation and inference for dependence in multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 869-881, April.
    50. Han, Sukjin & Vytlacil, Edward J., 2017. "Identification in a generalization of bivariate probit models with dummy endogenous regressors," Journal of Econometrics, Elsevier, vol. 199(1), pages 63-73.
    51. Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.

Articles

  1. Arellano, Cristina & Maliar, Lilia & Maliar, Serguei & Tsyrennikov, Viktor, 2016. "Envelope condition method with an application to default risk models," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 436-459.
    See citations under working paper version above.
  2. Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "Portfolio and welfare consequences of debt market dominance," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 89-101.

    Cited by:

    1. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
    2. Grzegorz R. Dlugoszek, 2016. "Solving DSGE Portfolio Choice Models with Asymmetric Countries," SFB 649 Discussion Papers SFB649DP2016-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2014. "International Portfolios: A Comparison of Solution Methods," Department of Economics Working Paper Series 4068, WU Vienna University of Economics and Business.
    4. Eugeni, Sara, 2015. "Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects," MPRA Paper 63549, University Library of Munich, Germany.
    5. Staveley-O’Carroll, James & Staveley-O’Carroll, Olena M., 2017. "Impact of pension system structure on international financial capital allocation," European Economic Review, Elsevier, vol. 95(C), pages 1-22.

  3. Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "International portfolios: A comparison of solution methods," Journal of International Economics, Elsevier, vol. 97(2), pages 404-422.
    See citations under working paper version above.
  4. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2014. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," Economic Journal, Royal Economic Society, vol. 124(575), pages 1-30, March.
    See citations under working paper version above.
  5. Tsyrennikov, Viktor, 2013. "Capital flows under moral hazard," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 92-108.

    Cited by:

    1. Mark Aguiar & Manuel Amador, 2013. "Sovereign Debt: A Review," NBER Working Papers 19388, National Bureau of Economic Research, Inc.

  6. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2012. "Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes," American Economic Review, American Economic Association, vol. 102(3), pages 141-146, May.

    Cited by:

    1. Nakov, Anton & Nuño, Galo, 2014. "Learning from Experience in the Stock Market," CEPR Discussion Papers 9845, C.E.P.R. Discussion Papers.
    2. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, March.

  7. Viktor Tsyrennikov, 2012. "Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default," American Economic Review, American Economic Association, vol. 102(3), pages 156-160, May.

    Cited by:

    1. Blume, Lawrence E. & Cogley, Timothy & Easley, David A. & Sargent, Thomas J. & Tsyrennikov, Viktor, 2015. "A Case for Incomplete Markets," Economics Series 313, Institute for Advanced Studies.
    2. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, March.

  8. Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.
    See citations under working paper version above.

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Co-authorship network on CollEc

Featured entries

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  1. Ukrainian Economists

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 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-DGE: Dynamic General Equilibrium (5) 2014-08-09 2015-06-20 2015-09-18 2015-11-15 2016-12-18. Author is listed
  2. NEP-BAN: Banking (2) 2014-08-09 2015-11-15
  3. NEP-FIN: Finance (2) 2004-12-12 2004-12-15
  4. NEP-MAC: Macroeconomics (2) 2014-01-24 2015-01-14
  5. NEP-OPM: Open Economy Macroeconomics (2) 2014-01-24 2016-12-18
  6. NEP-RMG: Risk Management (2) 2014-08-09 2015-11-15
  7. NEP-CMP: Computational Economics (1) 2015-11-15
  8. NEP-ECM: Econometrics (1) 2004-12-12
  9. NEP-IFN: International Finance (1) 2016-12-18
  10. NEP-MON: Monetary Economics (1) 2016-12-18
  11. NEP-ORE: Operations Research (1) 2014-08-09

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