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Efficiency and productivity analysis : using copulas in stochastic frontier models

Prokhorov, Artem - 2024

Persistent link: https://www.econbiz.de/10014515426

Reconstructing High Dimensional Dynamic Distributions from Distributions of Lower Dimension

Anatolyev, Stanislav - 2012

We propose a new procedure for estimating a dynamic joint distribution of a group of assets in a sequential manner starting from univariate marginals, continuing with pairwise bivariate distributions, then with triplewise trivariate distributions, etc., until the joint distribution for the whole...

Persistent link: https://www.econbiz.de/10013108871

Likelihood-based estimation in a panel setting : robustness, redundancy and validity of copulas

Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 153 (2009) 1, pp. 93-104

Persistent link: https://www.econbiz.de/10003892661

Reconstructing high dimensional dynamic distributions from ditributions of lower dimension

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - 2012

Persistent link: https://www.econbiz.de/10009509704

An algorithm for constructing high dimensional distributions from distributions of lower dimension

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Economics letters 123 (2014) 3, pp. 257-261

Persistent link: https://www.econbiz.de/10010400222

Using copulas to model time dependence in stochastic frontier models

Amsler, Christine Elaine; Prokhorov, Artem; Schmidt, Peter - In: Econometric reviews 33 (2014) 5/6, pp. 497-522

Persistent link: https://www.econbiz.de/10010360796

A goodness-of-fit test for copulas

Huang, Wanling; Prokhorov, Artem - In: Econometric reviews 33 (2014) 7, pp. 751-771

Persistent link: https://www.econbiz.de/10010363881

A new measure of vector dependence, with applications to financial risk and contagion

Medovikov, Ivan; Prokhorov, Artem - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 474-503

Persistent link: https://www.econbiz.de/10011987541

Heavy tails and copulas : limits of diversification revisited

Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107

Persistent link: https://www.econbiz.de/10011620157

Estimation of hierarchical Archimedean copulas as a shortest path problem

Matsypura, Dmytro; Neo, Emily; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 131-134

Persistent link: https://www.econbiz.de/10011620207