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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …
Persistent link: https://www.econbiz.de/10011380687
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010331130
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010332621
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Estimation procedures for exchangeable Marshall copulas with hydrological application
Durante, Fabrizio; Okhrin, Ostap - 2014
. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …
Persistent link: https://www.econbiz.de/10010333211
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Properties of hierarchical Archimedean copulas
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - In: Statistics & Risk Modeling 30 (2013) 1, pp. 21-54
copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula values, which is …
Persistent link: https://www.econbiz.de/10014622229
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Dynamic structured copula models
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - In: Statistics & Risk Modeling 30 (2013) 4, pp. 361-388
distributions. A promising class of models is that of hierarchical Archimedean copulae (HAC), which allows for non-exchangeable and …
Persistent link: https://www.econbiz.de/10014622244
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Editorial to the special issue on Copulae of Statistics & Risk Modeling
Okhrin, Ostap - In: Statistics & Risk Modeling 30 (2013) 4, pp. 281-286
Abstract Copulae became an extremely popular tool in different areas of research. Since the first applications in risk … define the copulae and state the Sklar theorem. Some literature suggestions are given in the second section. The last section …
Persistent link: https://www.econbiz.de/10014622246
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On the Systemic Nature of Weather Risk
Xu, Wei; Filler, Gunther; Odening, Martin; Okhrin, Ostap - 2009
conditions in different locations.For that purpose copula methods are employed that allow an adequate descriptionof stochastic …
Persistent link: https://www.econbiz.de/10009444681
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On the Systemic Nature of Weather Risk
Xu, Wei; Filler, Gunther; Odening, Martin; Okhrin, Ostap - 2009
conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic …
Persistent link: https://www.econbiz.de/10009444820
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On the systemic nature of weather risk
Filler, Guenther; Odening, Martin; Okhrin, Ostap; Xu, Wei - 2009
conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic …
Persistent link: https://www.econbiz.de/10010263758