Wirtschaftswissenschaftliche Fakultät

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Prof. Dr. Yarema Okhrin


YaremaSW

E-Mail: yarema.okhrin@wiwi.uni-augsburg.de
Telefon: +49 821 598 - 4152
Fax: +49 821 598 - 4227
Raum: 2317



Academic career / Wissenschaftlicher Werdegang

since Oct. 2009

Full Professor of Statistics, Faculty of Business and Economics, University of Augsburg, Germany

April 2008 – Sep. 2009

Assistant Professor in Econometrics, Department of Macroeconomics, University of Bern, Switzerland

Dec. 2007

Habilitation in „Statistics and Econometrics“, European University Viadrina, Frankfurt (Oder), Germany

July 2004

Doctoral dissertation (Dr. rer.pol.) with summa cum laude, at European University Viadrina, Frankfurt (Oder)

(Title: Distributional properties and estimation of optimal portfolios, Supervisor: Prof. Dr. Wolfgang Schmid)

May 2000 – March 2008

Research/teaching assistant, Department of Statistics,  European University Viadrina, Frankfurt (Oder)

 

Education / Ausbildung

Sep. 1999 – April 2000

PhD program "Capital and financial markets in enlarged Europe", European University Viadrina, Frankfurt (Oder), Germany

June 1999

M.Sc. in Mathematics with honours,  Ivan Franko State University, Lviv/Lemberg, Ukraine

Sep. 1994 – June 1999

Studies in Mathematics, Ivan Franko State University, Lviv/Lemberg, Ukraine. Major: Mathematics, financial and actuarial Mathematics

 

Research Interests / Forschungsschwerpunkte

  • Quantitative methods in Economics and Finance

  • Statistical process control

  • Applied and financial Econometrics

  • Dependence modelling

 

Academic activities and honours / Akademische Aktivitäten und Ehrungen

Editor-in-Chief of "Advances in Statistical Analysis" (since 2015)

Best Teaching Award 2012, Faculty of Business and Economics, University of Augsburg

Member of the board of the German Statistical Society

German Research Foundation (DFG)-Project "Vine copula base modelling and forecasting of multivariate realized volatility time-series" (2015-2018), jointly with TU Munich

German Research Foundation (DFG)-Project "Wishart Processes in Statistics and Econometrics: Theory and Applications" (2011-2013), jointly with HU Berlin

Swiss National Foundation (SNF)-Project „Decisions and forecasting under uncertainty: case-based decision theory and its extensions with applications to finance” (2010-2012)

Young Researcher Award 2008 of the federal state of Brandenburg, Germany

 


Publications / Publikationen

Bayesian Estimation of the Global Minimum Variance Portfolio, appears in European Journal of Operations Research (with T. Bodnar and S. Mazur)

A multivariate volatility vine copula model,
appears in Econometric Reviews (with E. Brechmann and M. Heiden)

Behavior of EWMA Type Charts for Small Smothing Parameter, appears in Computational Statistics & Data Analysis, (with. T. Lazariv and W. Schmid)

"Quality surveillance with EWMA control charts based on exact control limits" Statistical Papers 56, 863-885, 2015 (with M.C. Morais and W. Schmid)

"Confidence bands for empirical pricing kernels"
Journal of Financial Econometrics 13, 376-413, 2015 (with W. Härdle and W. Wang)

"Using Information Quality for Volatility Model Combinations"
Quantitative Finance, Vol. 15, p. 1055 - 1073, 2015 (with V. Golosnoy)

"Distribution of the product of singular Wishart matrix and normal vector"  Theory of Probability and Mathematical Statistics, Vol. 91, p. 1-14, 2014 (with T. Bodnar and S. Mazur)

"Robust Surveillance of Covariance Matrices Using a Single Observation" Sankhya A,  76, p. 219-256, 2014 (with O. Bodnar and T. Bodnar)

"The empirical similarity approach for volatility prediction" Journal of Banking and Finance 40, p. 321–329, 2014 (with V. Golosnoy and A. Hamid)

"On the structure and estimation of hierarchical Archimedean copulas"
Journal of Econometrics 173, p. 189-204, 2013 (with O. Okhrin and W. Schmid)

"On the Exact and Approximate Distributions of the Product of a Wishart Matrix with a Normal Vector" Journal of Multivariate Analysis 122, p. 70-81, 2013 (with T. Bodnar and S. Mazur)

"Dynamic structured copula models" Statistics & Risk Modelling 30/4, p. 361-388, 2013 (with W. Härdle and O. Okhrin)

"Properties of hierarchical Archimedean copulas"
Statistics & Risk Modelling 30, p. 21-53, 2013 (with O. Okhrin and W. Schmid)

"Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio?" Applied Mathematics and Computation 219, p. 5440-5448, 2013 (with T. Bodnar)

"Nonparametric monitoring of equal predictive ability" Journal of Statistical Planning and Inference 141, p. 3170-3180, 2011 (with V. Golosnoy)

"On the distributional properties of the product of inverse Wishart random matrix and Gaussian random vector" Scandinavian Journal of Statistics 38, p. 311-331, 2011 (with T. Bodnar)

"A note on interdependent happiness" Journal of Socio-Economics 39, p. 713-721, 2009 (with F. Bolle and C. Vogel)

"Surveillance of the covariance matrix based on the properties of the singular Wishart distribution" Computational Statistics & Data Analysis 53, p. 3372-3385, 2009 (with O. Bodnar and T. Bodnar)

"Flexible shrinkage in portfolio selection" Journal of Economic Dynamics and Control 33, p. 317-328, 2009 (with V. Golosnoy)

"Properties of the partitioned singular, inverse and generalized Wishart distributions" Journal of Multivariate Analysis 99, p. 2389-2405, 2008 (with T. Bodnar)

"EWMA charts for multivariate output: Some stochastic ordering results" Communications in Statistics: Theory and Methods 37,
p. 2653-2663, 2008 (with M.C. Morais, A. Pacheco und W. Schmid)

"General uncertainty in portfolio selection: a case-based decision approach" Journal of Economic Behavior and Organization 67, p. 718-734, 2008 (with V. Golosnoy)

"Estimation of optimal portfolio weights" International Journal of Theoretical and Applied Finance 11, p. 249-276, 2008 (with W. Schmid)

"Comparison of different estimation techniques for portfolio selection" Advances in Statistical Analysis 91, p. 109-127, 2007 (with W. Schmid)

"Multivariate shrinkage for optimal portfolio weights" The European Journal of Finance 13, p. 441-458, 2007 (with V. Golosnoy)

Discussion on "Sequential design and estimation in heteroscedastic nonparametric regression" by Sam Efromovich, Sequential Analysis 26, p. 53-55, 2007 (with W. Schmid)

"On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in sigma" Statistics & Decisions 24, p. 397-413, 2006 (with M.C. Morais, A. Pacheco and W. Schmid)

"Distributional properties of portfolio weights"
Journal of Econometrics 134, p. 235-256, 2006 (with W. Schmid)

"Tail behaviour of a general family of control charts" Statistics & Decisions 21, p.77-90, 2003 (with W. Schmid)



Publications in handbooks / Veröffentlichungen in Sammelbänden

Limit Properties of EWMA Charts for Stationary Processes, in: H.-J. Lenz, W. Schmid, P.-Th. Wilrich (Hrsg.), Frontiers in Statistical Quality Control 10, Springer 2012 (with M. C. Morais and W. Schmid)

Modelling dependencies in finance using copulae, in: W. Härdle, N. Hautsch und L. Overbeck (Hrsg.), Applied Quantitative Finance, 2. Edition, Springer 2008 (with W. Härdle and O. Okhrin)

Surveillance of univariate and multivariate linear time series, in: M. Frisén (Hrsg.), Financial Surveillance, Wiley 2008 (with W. Schmid)

Surveillance of univariate and multivariate nonlinear time series, in: M. Frisén (Hrsg.), Financial Surveillance, Wiley 2008 (with W. Schmid)


Working Papers

Estimation of Expected Utility Portfolios for Large Dimensional Data, current project (with T. Bodnar and N. Parolya)

Monitoring Factor Models, current project (with V. Golosnoy)

Empirical similarity and Taylor rule: Fed policy investigation, current project (with V. Golosnoy and M. Ross)

Stochastic Inequalities for the Run Length of an EWMA chart for a Long-Memory Process, current project (with W. Schmid)

Determining and Estimation of Risk Aversion Coe
fficients, current project (with T. Bodnar and T. Zabolotskyy)

Forecasting and modelling of particle pollution, current project (with D. Schneller)

Sequential tests for equal predictive ability, current project (with V. Golosnoy)