← All authors Ostap Okhrin Technische Universität Dresden (from arXiv:2409.13516, 2024) · ORCID · OpenAlex
55 papers in scope · 52 published · 3 on the econ.EM arXiv · 1,059 citations · h-index 18 (over the papers listed here)
Papers (3 of 55)
Observations concerning the estimation of Heston’s stochastic volatility model using HF data
published 2025 · Statistical Papers · 2 citations · first circulated 2023
with Michael Rockinger, Manuel Schmid, Georg Michael Rockinger
Adaptive local VAR for dynamic economic policy uncertainty spillover
published 2025 · Economic Modelling · first circulated 2023
with Niels Gillmann
Locally Adaptive Modeling of Unconditional Heteroskedasticity
published 2025 · The New England Journal of Statistics in Data Science
with Matthias R. Fengler, B Jäger, Bruno J auml ger
Leader–follower identification with vehicle-following calibration for non-lane-based traffic
published 2024 · Transportation Research Part C Emerging Technologies · 5 citations
with Mihir Mandar Kulkarni, Ankit Anil Chaudhari, Karthik K. Srinivasan, Bhargava Rama Chilukuri, Martin Treiber
working paper 2024 · arXiv
Self-organized free-flight arrival for urban air mobility
published 2024 · Transportation Research Part C Emerging Technologies · 13 citations
with Martin Waltz, Michael Schultz
Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root
published 2024 · Statistica Neerlandica · 1 citations
with Haozhe Jiang, Michael Rockinger, Georg Michael Rockinger
Towards robust car-following based on deep reinforcement learning
published 2024 · Transportation Research Part C Emerging Technologies · 34 citations
with Fabian Hart, Martin Treiber
Preface to the Special Issue “Copula modeling from Abe Sklar to the present day”
published 2023 · Journal of Multivariate Analysis
with Christian Genest, Taras Bodnar
Copula modeling from Abe Sklar to the present day
published 2023 · Journal of Multivariate Analysis · 14 citations
with Christian Genest, Taras Bodnar
Penalized estimation of hierarchical Archimedean copula
published 2023 · Journal of Multivariate Analysis · 4 citations
with Alexander Ristig
Flight delay propagation inference in air transport networks using the multilayer perceptron
published 2023 · Journal of Air Transport Management · 7 citations
with Gong Chen, Hartmut Fricke, Judith Rosenow
Editorial
published 2023 · Theory of Probability and Mathematical Statistics
with Taras Bodnar
Spatial–temporal recurrent reinforcement learning for autonomous ships
published 2023 · Neural Networks · 22 citations · first circulated 2022
with Martin Waltz
Modified DDPG car-following model with a real-world human driving experience with CARLA simulator
published 2022 · Transportation Research Part C Emerging Technologies · 43 citations · first circulated 2021
with Dianzhao Li
Semiparametric estimation of the high-dimensional elliptical distribution
published 2022 · Journal of Multivariate Analysis
with Eckhard Liebscher
Labor market tightness and individual wage growth: evidence from Germany
published 2022 · Journal for Labour Market Research · 17 citations
with Stephan Brunow, Stefanie Lösch
Distributional properties of continuous time processes: from CIR to bates
published 2022 · AStA Advances in Statistical Analysis · 3 citations · first circulated 2020
with Michael Rockinger, Manuel Schmid, Georg Michael Rockinger
Vulnerability-CoVaR: investigating the crypto-market
published 2022 · Quantitative Finance · 14 citations
with Martin Waltz, Abhay Kumar Singh
Importance of Weather Conditions in a Flight Corridor
published 2022 · Stats · 2 citations
with Gong Chen, Hartmut Fricke, Judith Rosenow
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm
published 2022 · Journal of Financial Econometrics · 6 citations
Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments
published 2022 · The Journal of Computational Finance · 4 citations
with Michael Rockinger, Manuel Schmid
What threatens stock markets more - The coronavirus or the hype around it?
published 2021 · International Review of Economics & Finance · 19 citations
with Alexander Nepp, Julia Egorova, Zarnigor Dzhuraeva, Alexander Zykov
Infinitely stochastic micro reserving
published 2021 · Insurance Mathematics and Economics · 16 citations
Copulae: An overview and recent developments
published 2021 · Wiley Interdisciplinary Reviews Computational Statistics · 43 citations
with Joshua Größer
gofCopula: Goodness-of-Fit Tests for Copulae
published 2021 · The R Journal · 13 citations · first circulated 2020
with Simon Trimborn, Martin Waltz
Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation
published 2020 · Computational Statistics & Data Analysis · 1 citations
with Jan Górecki, Marius Hofert
working paper 2019 · arXiv
Index of environmental awareness through the MIMIC approach
published 2019 · Papers of the Regional Science Association · 5 citations
with Dilya Khakimova, Stefanie Lösch, Danny Wende, Hans Wiesmeth
Flexible HAR model for realized volatility
published 2018 · Studies in Nonlinear Dynamics and Econometrics · 36 citations
Optimal shrinkage estimator for high-dimensional mean vector
published 2018 · Journal of Multivariate Analysis · 34 citations · first circulated 2016
with Taras Bodnar, Nestor Parolya
working paper 2018 · arXiv
Diffusion of Environmental Awareness
published 2017 · Diffusion fundamentals.
with Stefanie Lösch, Hans Wiesmeth, S. Lösch
Adaptive local parametric estimation of crop yields: implications for crop insurance rate making
published 2017 · European Review of Agricultural Economics · 16 citations
with Zhiwei Shen, Martin Odening
A comparison study of pricing credit default swap index tranches with convex combination of copulae
published 2017 · The North American Journal of Economics and Finance · 8 citations
with Yafei Xu
The Realized Hierarchical Archimedean Copula in Risk Modelling
published 2017 · Econometrics · 13 citations
with Anastasija Tetereva
Lévy copulae for financial returns
published 2016 · Dependence Modeling
Localizing Temperature Risk
published 2016 · Journal of the American Statistical Association · 32 citations · first circulated 2010
Goodness-of-fit test for specification of semiparametric copula dependence models
published 2016 · Journal of Econometrics · 37 citations · first circulated 2013
with Shulin Zhang, Qian M. Zhou, Peter X.-K. Song
A semiparametric factor model for CDO surfaces dynamics
published 2015 · Journal of Multivariate Analysis · 6 citations · first circulated 2014
Editorial to the special issue on Applicable semiparametrics of computational statistics
published 2015 · Computational Statistics
with Stefan Trück
Can expert knowledge compensate for data scarcity in crop insurance pricing?
published 2015 · European Review of Agricultural Economics · 27 citations · first circulated 2013
with Zhiwei Shen, Martin Odening
Modelling spatio-temporal variability of temperature
published 2015 · Computational Statistics · 14 citations
with Xiao-Feng Cao, Martin Odening, Matthias Ritter
HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
published 2014 · Econometric Theory · 31 citations
Managing risk with a realized copula parameter
published 2014 · Computational Statistics & Data Analysis · 26 citations
with Matthias R. Fengler
Modelling the general dependence between commodity forward curves
published 2014 · Energy Economics · 17 citations · first circulated 2012
with Mikhail Zolotko
Conditional least squares and copulae in claims reserving for a single line of business
published 2014 · Insurance Mathematics and Economics · 12 citations · first circulated 2013
Hierarchical Archimedean Copulae: The HAC Package
published 2014 · Journal of Statistical Software · 76 citations · first circulated 2012
with Alexander Ristig
Dynamic structured copula models
published 2013 · Statistics & Risk Modeling · 12 citations
Editorial to the special issue on Copulae of Statistics & Risk Modeling
published 2013 · Statistics & Risk Modeling
Valuation of collateralized debt obligations with hierarchical Archimedean copulae
published 2013 · Journal of Empirical Finance · 23 citations
Properties of hierarchical Archimedean copulas
published 2013 · Statistics & Risk Modeling · 61 citations · first circulated 2009
On the structure and estimation of hierarchical Archimedean copulas
published 2012 · Journal of Econometrics · 169 citations
Systemic Weather Risk and Crop Insurance: The Case of China
published 2012 · Journal of Risk & Insurance · 94 citations · first circulated 2010
with Martin Odening, Wei Xu, Ji Cao
De copulis non est disputandum
published 2009 · AStA Advances in Statistical Analysis · 27 citations
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