Okhrin, Yarema

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2009

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema (2009). Modeling Dependencies with Copulae. In: Härdle, Wolfgang K.; Hautsch, Nikolaus; Overbeck, Ludger (eds.) Applied Quantitative Finance. Heidelberg: Springer Verlag

Golosnoy, Vasyl; Okhrin, Yarema (2009). Flexible shrinkage in portfolio selection. Journal of economic dynamics & control, 33(2), pp. 317-328. Amsterdam: Elsevier 10.1016/j.jedc.2008.06.003

Bolle, Friedel; Okhrin, Yarema; Vogel, Claudia (2009). A note on interdependent happiness. Journal of socio-economics, 38(5), pp. 713-721. Greenwich, Conn.: North-Holland 10.1016/j.socec.2009.03.007

Bodnar, Olha; Bodnar, Taras; Okhrin, Yarema (2009). Surveillance of the covariance matrix based on the properties of the singular Wishart distribution. Computational statistics & data analysis, 53(9), pp. 3372-3385. New York, N.Y.: Elsevier 10.1016/j.csda.2009.02.020

2008

Bodnar, Taras; Okhrin, Yarema (2008). Properties of the partitioned singular, inverse and generalized Wishart distributions. Journal of multivariate analysis, 99(10), pp. 2389-2405. Amsterdam: Elsevier 10.1016/j.jmva.2008.02.024

Golosnoy, Vasyl; Okhrin, Yarema (2008). General uncertainty in portfolio selection: A case-based decision approach. Journal of economic behavior & organization, 67(3-4), pp. 718-734. Amsterdam: Elsevier 10.1016/j.jebo.2007.08.004

Morais, Manuel Cabral; Okhrin, Yarema; Pacheco, António; Schmid, Wolfgang (2008). EWMA Charts for Multivariate Output: Some Stochastic Ordering Results. Communications in statistics - theory and methods, 37(16), pp. 2653-2663. New York, N.Y.: Marcel Dekker 10.1080/03610920801956439

Okhrin, Yarema; Schmid, Wolfgang (2008). Estimation of optimal portfolio weights. International journal of theoretical and applied finance IJTAF, 11(3), pp. 249-276. River Edge, N.J.: World Scientific

Okhrin, Yarema; Schmid, Wolfgang (2008). Surveillance of univariate and multivariate nonlinear time series. In: Frisén, Marianne (ed.) Financial Surveillance (pp. 153-175). Chichester: John Wiley & Sons

Okhrin, Yarema; Schmid, Wolfgang (2008). Surveillance of univariate and multivariate linear time series. In: Frisén, Marianne (ed.) Financial Surveillance (pp. 115-152). Chichester: John Wiley & Sons

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