Wirtschaftswissenschaftliche Fakultät

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Publikationen und Handbooks


  • Okhrin Y.: Stochastic Inequalities for the Run Length of the EWMA Chart for Long-Memory Processes, appears in REVSTAT (with W. Schmid)
  • Wins A. and Zwergel B.: Comparing those who do, might and will not invest in sustainable funds - A survey among German retail fund investors, 2016, Business Research
  • Okhrin Y., T. Bodnar and S. Mazur: Bayesian Estimation of the Global Minimum Variance Portfolio, appears in European Journal of Operations Research
  • Okhrin Y., E. Brechmann and M. Heiden: A multivariate volatility vine copula model, appears in Econometric Reviews
  • Okhrin Y., T. Lazariv and W. Schmid: Behavior of EWMA Type Charts for Small Smothing Parameter, appears in Computational Statistics & Data Analysis
  • Okhrin Y., M.C. Morais and W. Schmid: Quality surveillance with EWMA control charts based on exact control limits, Statistical Papers 56, 863-885, 2015
  • Okhrin Y., W. Härdle and W. Wang: Confidence bands for empirical pricing kernels, Journal of Financial Econometrics 13, 376-413, 2015
  • Okhrin Y., V. Golosnoy: Using Information Quality for Volatility Model Combinations, Quantitative Finance, Vol. 15, p. 1055 - 1073, 2015
  • Heiden S. with G.Bamberg: Another Look at the Equity Risk Premium Puzzle, German Economic Review, 2015, Vol. 16, Issue 4, S. 490-501
  • Schneller D.: Scheinregressionen in Zeitreihendaten, WiSt, accepted for publication, 2015
  • Wins A. and Zwergel B.: Private ethical fund investors across countries and time: a survey-based review, 2015, Qualitative Research in Financial Markets, Vol. 7 Iss: 4, pp.379 - 411
  • Okhrin Y., T. Bodnar and S. Mazur: Distribution of the product of singular Wishart matrix and normal vector, Theory of Probability and Mathematical Statistics, Vol. 91, p. 1-14, 2014
  • Okhrin Y., O. Bodnar and T. Bodnar: Robust Surveillance of Covariance Matrices Using a Single Observation, Sankhya A,  76, p. 219-256, 2014
  • Okhrin Y., V. Golosnoy and A. Hamid: The empirical similarity approach for volatility prediction, Journal of Banking and Finance 40, p. 321–329, 2014
  • Heiden S. with B. Zwergel: Intraday futures patterns and volume-volatilty relationships: the German evidence, Review of Managerial Science, 2014, Vol. 8, Issue 1, S. 29-61
  • Heiden S.: Modellierung von Zeitreihen mit Regimeverhalten mit Markov-Switching-Modellen, WiSt, 2014, Vol.1, S. 18-24
  • Okhrin Y., O. and W. Schmid, On the structure and estimation of hierarchical Archimedean copulas, Journal of Econometrics 173,                p. 189-204, 2013
  • Okhrin Y., T. Bodnar and S. Mazur: 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
  • Okhrin Y., W. Härdle and O. Okhrin: Dynamic structured copula models, Statistics & Risk Modelling 30/4, p. 361-388, 2013
  • Okhrin Y., Okhrin O. and W. Schmid, Properties of hierarchical Archimedean copulas, Statistics & Risk Modelling 30, p. 21-53, 2013
  • Okhrin Y. and  T. Bodnar, Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio?,           Applied Mathematics and Computation 219, p. 5440-5448, 2013
  • Heiden S., C. Klein und B. Zwergel: Beyond Fundamentals: Investor Sentiment and Exchange Rate Forecasting, 2013, European Financial Management, Vol. 19, Issue 3, S. 558-579
  • Okhrin Y. and V. Golosnoy, Nonparametric monitoring of equal predictive ability, Journal of Statistical Planning and Inference 141, p. 3170-3180, 2011
  • Okhrin Y. and T. Bodnar: 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
  • Okhrin Y., F. Bolle and C. Vogel: A note on interdependent happiness, Journal of Socio-Economics 39, p. 713-721, 2009
  • Okhrin Y., O. Bodnar and T. Bodnar: Surveillance of the covariance matrix based on the properties of the singular Wishartdistribution, Computational Statistics & Data Analysis 53, p. 3372-3385, 2009
  • Okhrin Y. and V. Golosnoy: Flexible shrinkage in portfolio selection, Journal of Economic Dynamics and Control 33, p. 317-328, 2009
  • Heiden S., C. Klein und B. Zwergel: On the existence of sports sentiment - The relation between football match results and stock index returns in Europe, 2009, Review of Managerial Science, Vol. 3, Issue 3, S. 191 – 208
  • Okhrin Y. and T. Bodnar: Properties of the partitioned singular, inverse and generalized Wishart distributions, Journal of Multivariate Analysis 99, p. 2389-2405, 2008
  • Okhrin Y., M.C. Morais, A. Pacheco and W. Schmid: EWMA charts for multivariate output: some stochastic ordering results, Communications in Statistics: Theory and Methods 37, p. 2653-2663, 2008
  • Okhrin Y. and V. Golosnoy: General uncertainty in portfolio selection: a case-based decision approach, Journal of Economic Behavior and Organization, 67, p. 718-734, 2008
  • Okhrin Y. and W. Schmid: Estimation of optimal portfolio weights, International Journal of Theoretical and Applied Finance, 11, p. 249-276, 2008
  • Okhrin Y. and W. Schmid: Comparison of different estimation techniques for portfolio selection, Advances in Statistical Analysis 91, p. 109-127, 2007
  • Okhrin Y. and V. Golosnoy: Multivariate shrinkage for optimal portfolio weights, The European Journal of Finance, 13, p. 441-458, 2007
  • Okhrin Y. and W. Schmid: Discussion on "Sequential design and estimation in heteroscedastic nonparametric regression" by Sam Efromovich, Sequential Analysis 26, p. 53-55, 2007
  • Okhrin Y., M.C. Morais, A. Pacheco and 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
  • Okhrin Y.  and W. Schmid: Distributional properties of portfolio weights, Journal of Econometrics 134, p. 235-256, 2006
  • Okhrin Y. and W. Schmid: Tail behaviour of a general family of control charts, Statistics & Decisions 21, p. 77-90, 2003

Handbooks:

  • Wins A., C. Klein und B. Zwergel: Wer interessiert sich (nicht) für nachhaltige Anlageprodukte? Eine Kundenklassifizierung, in: M. Faust, S. Wolf (Hrsg.), Nachhaltige Geldanlagen - Produkte, Strategien und Beratungskonzepte, Frankfurt School Verlag, 2014
  • Okhrin Y., M. C. Morais and W. Schmid: 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
  • Okhrin Y., W. Härdle and O. Okhrin: Modelling dependencies in Finance using copulae, in W. Härdle, N. Hautsch and L. Overbeck (eds.) Applied Quantitative Finance, 2nd edition, Springer Verlag, 2008
  • Okhrin Y. and W. Schmid: Surveillance of univariate and multivariate linear time series, in M. Frisén (ed.), Financial Surveillance, Wiley, 2008
  • Okhrin Y. and W. Schmid: Surveillance of univariate and multivariate nonlinear time series, in: M. Frisén (Hrsg.), Financial Surveillance, Wiley 2008