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Ostap Okhrin

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: Investigating the Crypto-market," Papers 2203.10777, arXiv.org.

    Cited by:

    1. Tong Pu & Yifei Zhang & Yiying Zhang, 2024. "On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures," Papers 2405.07549, arXiv.org.
    2. Tong Pu & Yunran Wei & Yiying Zhang, 2024. "On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market," Papers 2411.09676, arXiv.org.

  2. Taras Bodnar & Ostap Okhrin & Nestor Parolya, 2016. "Optimal Shrinkage Estimator for High-Dimensional Mean Vector," Papers 1610.09292, arXiv.org, revised Jul 2018.

    Cited by:

    1. Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Apr 2023.
    2. Elliot Beck & Damian Kozbur & Michael Wolf, 2023. "Hedging Forecast Combinations With an Application to the Random Forest," Papers 2308.15384, arXiv.org, revised Aug 2023.
    3. Dutta, Sumanjay & Jain, Shashi, 2024. "Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability," Finance Research Letters, Elsevier, vol. 64(C).
    4. N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.
    5. Taras Bodnar & Nestor Parolya & Erik Thorsen, 2021. "Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio," Papers 2106.02131, arXiv.org, revised Nov 2021.
    6. Taras Bodnar & Solomiia Dmytriv & Yarema Okhrin & Nestor Parolya & Wolfgang Schmid, 2020. "Statistical inference for the EU portfolio in high dimensions," Papers 2005.04761, arXiv.org.
    7. Taras Bodnar & Stepan Mazur & Nestor Parolya, 2019. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 46(2), pages 636-660, June.
    8. N'Golo Kone, 2020. "A Multi-Period Portfolio Selection in a Large Financial Market," Working Paper 1439, Economics Department, Queen's University.
    9. Aneiros, Germán & Cao, Ricardo & Fraiman, Ricardo & Genest, Christian & Vieu, Philippe, 2019. "Recent advances in functional data analysis and high-dimensional statistics," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 3-9.
    10. Bodnar, Olha & Bodnar, Taras & Parolya, Nestor, 2022. "Recent advances in shrinkage-based high-dimensional inference," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    11. Yuasa, Ryota & Kubokawa, Tatsuya, 2020. "Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 178(C).

  3. Okhrin, Ostap & Ristig, Alexander & Sheen, Jeffrey R. & Trück, Stefan, 2015. "Conditional systemic risk with penalized copula," SFB 649 Discussion Papers 2015-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Benjamin Poignard & Jean-David Fermanian, 2022. "The finite sample properties of sparse M-estimators with pseudo-observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(1), pages 1-31, February.
    2. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    3. Nathan Uyttendaele, 2018. "On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison," Computational Statistics, Springer, vol. 33(2), pages 1047-1070, June.

  4. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014. "Efficient iterative maximum likelihood estimation of high-parameterized time series models," SFB 649 Discussion Papers 2014-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
    2. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2018. "Dynamic and granular loss reserving with copulae," Papers 1801.01792, arXiv.org.

  5. Durante, Fabrizio & Okhrin, Ostap, 2014. "Estimation procedures for exchangeable Marshall copulas with hydrological application," SFB 649 Discussion Papers 2014-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Cuadras, Carles M., 2015. "Contributions to the diagonal expansion of a bivariate copula with continuous extensions," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 28-44.
    2. Alghalith, Moawia, 2016. "Novel and simple non-parametric methods of estimating the joint and marginal densities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 94-98.
    3. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2018. "Non-exchangeability of copulas arising from shock models," Papers 1808.09698, arXiv.org, revised Jul 2019.
    4. Alghalith, Moawia, 2017. "A new parametric method of estimating the joint probability density," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 799-803.

  6. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Monbet, Valérie & Ailliot, Pierre, 2017. "Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature," Computational Statistics & Data Analysis, Elsevier, vol. 108(C), pages 40-51.
    2. Ostap Okhrin & Stefan Trück, 2015. "Editorial to the special issue on Applicable semiparametrics of computational statistics," Computational Statistics, Springer, vol. 30(3), pages 641-646, September.

  7. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Monbet, Valérie & Ailliot, Pierre, 2017. "Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature," Computational Statistics & Data Analysis, Elsevier, vol. 108(C), pages 40-51.
    2. Ostap Okhrin & Stefan Trück, 2015. "Editorial to the special issue on Applicable semiparametrics of computational statistics," Computational Statistics, Springer, vol. 30(3), pages 641-646, September.

  8. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014. "Efficient iterative maximum likelihood estimation of high-parameterized time series models," SFB 649 Discussion Papers 2014-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
    2. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2018. "Dynamic and granular loss reserving with copulae," Papers 1801.01792, arXiv.org.

  9. Durante, Fabrizio & Okhrin, Ostap, 2014. "Estimation procedures for exchangeable Marshall copulas with hydrological application," SFB 649 Discussion Papers 2014-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Cuadras, Carles M., 2015. "Contributions to the diagonal expansion of a bivariate copula with continuous extensions," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 28-44.
    2. Alghalith, Moawia, 2016. "Novel and simple non-parametric methods of estimating the joint and marginal densities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 94-98.
    3. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2018. "Non-exchangeability of copulas arising from shock models," Papers 1808.09698, arXiv.org, revised Jul 2019.
    4. Alghalith, Moawia, 2017. "A new parametric method of estimating the joint probability density," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 799-803.

  10. Shen, Zhiwei & Odening, Martin & Okhrin, Ostap, 2013. "Can expert knowledge compensate for data scarcity in crop insurance pricing?," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 149431, Agricultural and Applied Economics Association.

    Cited by:

    1. Nguyen, Giang & Nguyen, Trung Thanh, 2020. "Exposure to weather shocks: A comparison between self-reported record and extreme weather data," Economic Analysis and Policy, Elsevier, vol. 65(C), pages 117-138.
    2. Erwin Bulte & Rein Haagsma, 2021. "The Welfare Effects of Index-Based Livestock Insurance: Livestock Herding on Communal Lands," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 78(4), pages 587-613, April.
    3. Poeschel, Friedrich, 2012. "Assortative matching through signals," IAB-Discussion Paper 201215, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    4. Fabio Gaetano Santeramo, 2018. "Imperfect information and participation in insurance markets: evidence from Italy," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 78(2), pages 183-194, February.
    5. Fabio G Santeramo, 2019. "I Learn, You Learn, We Gain Experience in Crop Insurance Markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 41(2), pages 284-304, June.
    6. Yong Liu & A. Ford Ramsey, 2023. "Incorporating historical weather information in crop insurance rating," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(2), pages 546-575, March.
    7. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.

  11. Shen, Zhiwei & Odening, Martin & Okhrin, Ostap, 2013. "Can expert knowledge compensate for data scarcity in crop insurance pricing?," SFB 649 Discussion Papers 2013-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Nguyen, Giang & Nguyen, Trung Thanh, 2020. "Exposure to weather shocks: A comparison between self-reported record and extreme weather data," Economic Analysis and Policy, Elsevier, vol. 65(C), pages 117-138.
    2. Erwin Bulte & Rein Haagsma, 2021. "The Welfare Effects of Index-Based Livestock Insurance: Livestock Herding on Communal Lands," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 78(4), pages 587-613, April.
    3. Poeschel, Friedrich, 2012. "Assortative matching through signals," IAB-Discussion Paper 201215, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    4. Fabio Gaetano Santeramo, 2018. "Imperfect information and participation in insurance markets: evidence from Italy," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 78(2), pages 183-194, February.
    5. Fabio G Santeramo, 2019. "I Learn, You Learn, We Gain Experience in Crop Insurance Markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 41(2), pages 284-304, June.
    6. Yong Liu & A. Ford Ramsey, 2023. "Incorporating historical weather information in crop insurance rating," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(2), pages 546-575, March.
    7. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.

  12. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2013. "Goodness-of-fit test for specification of semiparametric copula dependence models," SFB 649 Discussion Papers 2013-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Tao Sun & Yu Cheng & Ying Ding, 2023. "An information ratio‐based goodness‐of‐fit test for copula models on censored data," Biometrics, The International Biometric Society, vol. 79(3), pages 1713-1725, September.
    2. Jie Huang & Haiming Zhou & Nader Ebrahimi, 2022. "Bayesian Bivariate Cure Rate Models Using Copula Functions," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 11(3), pages 1-9, May.
    3. Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    4. Miriam Jaser & Aleksey Min, 2021. "On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity," Computational Statistics, Springer, vol. 36(3), pages 1-26, September.
    5. Gong Chen & Hartmut Fricke & Ostap Okhrin & Judith Rosenow, 2022. "Importance of Weather Conditions in a Flight Corridor," Stats, MDPI, vol. 5(1), pages 1-27, March.
    6. Poeschel, Friedrich, 2012. "Assortative matching through signals," IAB-Discussion Paper 201215, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    7. Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2018. "Trending Mixture Copula Models with Copula Selection," IRTG 1792 Discussion Papers 2018-057, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    8. Qian M. Zhou, 2024. "Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data," Statistical Papers, Springer, vol. 65(7), pages 4677-4713, September.
    9. F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2018. "Joint and conditional dependence modeling of peak district heating demand and outdoor temperature: a copula-based approach," BEMPS - Bozen Economics & Management Paper Series BEMPS53, Faculty of Economics and Management at the Free University of Bozen.
    10. Tao Sun & Yi Liu & Richard J. Cook & Wei Chen & Ying Ding, 2019. "Copula-based score test for bivariate time-to-event data, with application to a genetic study of AMD progression," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 25(3), pages 546-568, July.
    11. Shulin Zhang & Qian M. Zhou & Huazhen Lin, 2021. "Goodness-of-fit test of copula functions for semi-parametric univariate time series models," Statistical Papers, Springer, vol. 62(4), pages 1697-1721, August.
    12. Fontaine, Charles & Frostig, Ron D. & Ombao, Hernando, 2020. "Modeling non-linear spectral domain dependence using copulas with applications to rat local field potentials," Econometrics and Statistics, Elsevier, vol. 15(C), pages 85-103.

  13. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "CDO surfaces dynamics," SFB 649 Discussion Papers 2013-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Burdejová, Petra & Härdle, Wolfgang Karl, 2017. "Dynamic semi-parametric factor model for functional expectiles," SFB 649 Discussion Papers 2017-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  14. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "CDO surfaces dynamics," SFB 649 Discussion Papers 2013-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Burdejová, Petra & Härdle, Wolfgang Karl, 2017. "Dynamic semi-parametric factor model for functional expectiles," SFB 649 Discussion Papers 2017-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  15. Okhrin, Ostap & Ristig, Alexander, 2012. "Hierarchical Archimedean copulae: The HAC package," SFB 649 Discussion Papers 2012-036, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
    2. Pawlak, Jacek & Polak, John W. & Sivakumar, Aruna, 2017. "A framework for joint modelling of activity choice, duration, and productivity while travelling," Transportation Research Part B: Methodological, Elsevier, vol. 106(C), pages 153-172.
    3. Okhrin, Ostap & Ristig, Alexander & Sheen, Jeffrey R. & Trück, Stefan, 2015. "Conditional systemic risk with penalized copula," SFB 649 Discussion Papers 2015-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Benson, Sydney & Burroughs, Regina & Ladyzhets, Vladimir & Mohr, Jessica & Shemyakin, Arkady & Walczak, David & Zhang, Huan, 2020. "Copula models of economic capital for life insurance companies," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 32-54.
    5. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
    6. Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
    7. Uyttendaele, Nathan, 2016. "On the estimation of nested Archimedean copulas: A theoretical and an experimental comparison," LIDAM Discussion Papers ISBA 2016005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Jakob Kevin & Fischer Matthias, 2014. "Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-21.
    9. ARAUJO ENCISO Sergio Rene & PIERALLI SIMONE & PEREZ DOMINGUEZ Ignacio, 2017. "Partial Stochastic Analysis with the Aglink-Cosimo Model: A Methodological Overview," JRC Research Reports JRC108837, Joint Research Centre.
    10. Zeytoon Nejad Moosavian, Seyyed Ali, 2017. "Flexible Modeling of Multivariate Risks in Pricing Margin Protection Insurance: Modeling Portfolio Risks with Mixtures of Mixtures," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258104, Agricultural and Applied Economics Association.
    11. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    12. Natalia Tente & Natalja Von Westernhagen & Ulf Slopek, 2019. "M‐PRESS‐CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 1923-1961, October.
    13. Nathan Uyttendaele, 2018. "On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison," Computational Statistics, Springer, vol. 33(2), pages 1047-1070, June.
    14. Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.
    15. Segers, Johan & Uyttendaele, Nathan, 2013. "Nonparametric estimation of the tree structure of a nested Archimedean copula," LIDAM Discussion Papers ISBA 2013009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    16. Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V., 2015. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 206-226.
    17. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: Investigating the Crypto-market," Papers 2203.10777, arXiv.org.
    18. Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.
    19. Nuño Martinez, Edgar & Cutululis, Nicolaos & Sørensen, Poul, 2018. "High dimensional dependence in power systems: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 197-213.
    20. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    21. Okhrin, Ostap & Xu, Ya Fei, 2017. "A comparison study of pricing credit default swap index tranches with convex combination of copulae," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 193-217.

  16. Fengler, Matthias R. & Okhrin, Ostap, 2012. "Realized copula," SFB 649 Discussion Papers 2012-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers 13-28, Duke University, Department of Economics.
    2. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
    3. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    4. Dickhaus, Thorsten & Gierl, Jakob, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers 2012-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, vol. 5(3), pages 1-3, July.

  17. Zolotko, Mikhail & Okhrin, Ostap, 2012. "Modelling general dependence between commodity forward curves," SFB 649 Discussion Papers 2012-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
    2. Yang, Lu & Cai, Xiao Jing & Li, Mengling & Hamori, Shigeyuki, 2015. "Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas," Economic Modelling, Elsevier, vol. 51(C), pages 308-314.
    3. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "The conditional dependence structure between precious metals: a copula-GARCH approach," MPRA Paper 56664, University Library of Munich, Germany.
    4. Mark Higgins, 2017. "A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices," Papers 1708.01665, arXiv.org, revised Aug 2017.
    5. Monika Papież & Stanisław Wanat & Sławomir Śmiech, 2016. "In Search of Hedges and Safe Havens in Global Financial Markets," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 17(3), pages 557-574, September.
    6. Ouyang, Zi-sheng & Liu, Meng-tian & Huang, Su-su & Yao, Ting, 2022. "Does the source of oil price shocks matter for the systemic risk?," Energy Economics, Elsevier, vol. 109(C).
    7. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "The conditional dependence structure of insurance sector credit default swap indices," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 122-132.
    8. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2019. "Quantifying Risk in Traditional Energy and Sustainable Investments," Sustainability, MDPI, vol. 11(3), pages 1-22, January.
    9. Carlos Gonz�lez-Pedraz & Manuel Moreno & Juan Ignacio Pe�a, 2015. "Portfolio selection with commodities under conditional copulas and skew preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 151-170, January.

  18. Fengler, Matthias R. & Okhrin, Ostap, 2012. "Realized copula," SFB 649 Discussion Papers 2012-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers 13-28, Duke University, Department of Economics.
    2. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
    3. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    4. Dickhaus, Thorsten & Gierl, Jakob, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers 2012-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, vol. 5(3), pages 1-3, July.

  19. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2012. "HMM in dynamic HAC models," SFB 649 Discussion Papers 2012-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.

  20. Zolotko, Mikhail & Okhrin, Ostap, 2012. "Modelling general dependence between commodity forward curves," SFB 649 Discussion Papers 2012-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
    2. Yang, Lu & Cai, Xiao Jing & Li, Mengling & Hamori, Shigeyuki, 2015. "Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas," Economic Modelling, Elsevier, vol. 51(C), pages 308-314.
    3. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "The conditional dependence structure between precious metals: a copula-GARCH approach," MPRA Paper 56664, University Library of Munich, Germany.
    4. Mark Higgins, 2017. "A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices," Papers 1708.01665, arXiv.org, revised Aug 2017.
    5. Monika Papież & Stanisław Wanat & Sławomir Śmiech, 2016. "In Search of Hedges and Safe Havens in Global Financial Markets," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 17(3), pages 557-574, September.
    6. Ouyang, Zi-sheng & Liu, Meng-tian & Huang, Su-su & Yao, Ting, 2022. "Does the source of oil price shocks matter for the systemic risk?," Energy Economics, Elsevier, vol. 109(C).
    7. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "The conditional dependence structure of insurance sector credit default swap indices," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 122-132.
    8. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2019. "Quantifying Risk in Traditional Energy and Sustainable Investments," Sustainability, MDPI, vol. 11(3), pages 1-22, January.
    9. Carlos Gonz�lez-Pedraz & Manuel Moreno & Juan Ignacio Pe�a, 2015. "Portfolio selection with commodities under conditional copulas and skew preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 151-170, January.

  21. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2012. "HMM in dynamic HAC models," SFB 649 Discussion Papers 2012-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.

  22. Härdle, Wolfgang Karl & Okhrin, Ostap & Okhrin, Yarema, 2010. "Time varying hierarchical archimedean copulae," SFB 649 Discussion Papers 2010-018, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Fengler, Matthias R. & Okhrin, Ostap, 2012. "Realized copula," SFB 649 Discussion Papers 2012-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    3. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
    4. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012. "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers 2012-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  23. Xu, Wei & Okhrin, Ostap & Odening, Martin & Cao, Ji, 2010. "Systemic weather risk and crop insurance: The case of China," SFB 649 Discussion Papers 2010-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Shen, Zhiwei & Odening, Martin & Okhrin, Ostap, 2013. "Can expert knowledge compensate for data scarcity in crop insurance pricing?," SFB 649 Discussion Papers 2013-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Lu Zong & Manuela Ender, 2016. "Spatially-Aggregated Temperature Derivatives: Agricultural Risk Management in China," IJFS, MDPI, vol. 4(3), pages 1-17, September.
    3. Wu, Yang-Che, 2020. "Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 116-128.
    4. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Okhrin, Ostap & Ristig, Alexander & Sheen, Jeffrey R. & Trück, Stefan, 2015. "Conditional systemic risk with penalized copula," SFB 649 Discussion Papers 2015-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Zhiwei Shen & Martin Odening, 2013. "Coping with systemic risk in index-based crop insurance," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 1-13, January.
    7. Ceballos, Francisco, 2016. "Estimating spatial basis risk in rainfall index insurance: Methodology and application to excess rainfall insurance in Uruguay," IFPRI discussion papers 1595, International Food Policy Research Institute (IFPRI).
    8. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    10. Christian Biener & Martin Eling & Shailee Pradhan, 2015. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2013 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 18(1), pages 129-141, March.
    11. A. Ford Ramsey & Barry K. Goodwin, 2019. "Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    12. Sheng, Di & Lambert, Dayton M. & Hellwinckel, Chad, 2016. "A Copula-based Approach to Simulate Climate Impacts on Yield: Some Preliminary Findings," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 230006, Southern Agricultural Economics Association.
    13. Bucheli, Janic & Dalhaus, Tobias & Finger, Robert, 2022. "Temperature effects on crop yields in heat index insurance," Food Policy, Elsevier, vol. 107(C).
    14. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
    15. Khaledi-Alamdari, Mohammad & Majnooni-Heris, Abolfazl & Fakheri-Fard, Ahmad & Russo, Ana, 2023. "Probabilistic climate risk assessment in rainfed wheat yield: Copula approach using water requirement satisfaction index," Agricultural Water Management, Elsevier, vol. 289(C).
    16. Yaoyao Wu & Hanqi Liao & Lei Fang & Guizhen Guo, 2023. "Quantitative Study on Agricultural Premium Rate and Its Distribution in China," Land, MDPI, vol. 12(1), pages 1-14, January.
    17. Gong, Xuche & Feng, Hongli & Hennessy, David A., 2018. "Systemic Risk, Geography and Area Insurance," 2018 Annual Meeting, August 5-7, Washington, D.C. 274479, Agricultural and Applied Economics Association.
    18. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Yong Liu & Alan P. Ker, 2021. "Simultaneous borrowing of information across space and time for pricing insurance contracts: An application to rating crop insurance policies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 231-257, March.
    20. Ying-Erh Chen & Barry K Goodwin, 2015. "Policy Design of Multi-Year Crop Insurance Contracts with Partial Payments," PLOS ONE, Public Library of Science, vol. 10(12), pages 1-15, December.
    21. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    22. Awondo, Sebastain N., 2019. "Efficiency of region-wide catastrophic weather risk pools: Implications for African Risk Capacity insurance program," Journal of Development Economics, Elsevier, vol. 136(C), pages 111-118.
    23. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
    24. Martínez-Salgueiro, Andrea & Tarrazón-Rodón, María-Antonia, 2020. "Is diversification effective in reducing the systemic risk implied by a market for weather index-based insurance in Spain?," MPRA Paper 119924, University Library of Munich, Germany, revised 19 May 2021.
    25. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    26. Franziska Gaupp & Georg Pflug & Stefan Hochrainer‐Stigler & Jim Hall & Simon Dadson, 2017. "Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools," Risk Analysis, John Wiley & Sons, vol. 37(11), pages 2212-2228, November.
    27. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
    28. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    29. Xiaotao Li & Jinzheng Ren & Beibei Niu & Haiping Wu, 2020. "Grain Area Yield Index Insurance Ratemaking Based on Time–Space Risk Adjustment in China," Sustainability, MDPI, vol. 12(6), pages 1-15, March.
    30. Yuehua Zhang & Ying Cao & H. Holly Wang, 2018. "Cheating? The Case of Producers’ Under‐Reporting Behavior in Hog Insurance in China," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 66(3), pages 489-510, September.
    31. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.

  24. Xu, Wei & Okhrin, Ostap & Odening, Martin & Cao, Ji, 2010. "Systemic weather risk and crop insurance: The case of China," SFB 649 Discussion Papers 2010-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Shen, Zhiwei & Odening, Martin & Okhrin, Ostap, 2013. "Can expert knowledge compensate for data scarcity in crop insurance pricing?," SFB 649 Discussion Papers 2013-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Lu Zong & Manuela Ender, 2016. "Spatially-Aggregated Temperature Derivatives: Agricultural Risk Management in China," IJFS, MDPI, vol. 4(3), pages 1-17, September.
    3. Wu, Yang-Che, 2020. "Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 116-128.
    4. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Okhrin, Ostap & Ristig, Alexander & Sheen, Jeffrey R. & Trück, Stefan, 2015. "Conditional systemic risk with penalized copula," SFB 649 Discussion Papers 2015-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Zhiwei Shen & Martin Odening, 2013. "Coping with systemic risk in index-based crop insurance," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 1-13, January.
    7. Ceballos, Francisco, 2016. "Estimating spatial basis risk in rainfall index insurance: Methodology and application to excess rainfall insurance in Uruguay," IFPRI discussion papers 1595, International Food Policy Research Institute (IFPRI).
    8. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    10. Christian Biener & Martin Eling & Shailee Pradhan, 2015. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2013 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 18(1), pages 129-141, March.
    11. A. Ford Ramsey & Barry K. Goodwin, 2019. "Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    12. Sheng, Di & Lambert, Dayton M. & Hellwinckel, Chad, 2016. "A Copula-based Approach to Simulate Climate Impacts on Yield: Some Preliminary Findings," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 230006, Southern Agricultural Economics Association.
    13. Bucheli, Janic & Dalhaus, Tobias & Finger, Robert, 2022. "Temperature effects on crop yields in heat index insurance," Food Policy, Elsevier, vol. 107(C).
    14. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
    15. Khaledi-Alamdari, Mohammad & Majnooni-Heris, Abolfazl & Fakheri-Fard, Ahmad & Russo, Ana, 2023. "Probabilistic climate risk assessment in rainfed wheat yield: Copula approach using water requirement satisfaction index," Agricultural Water Management, Elsevier, vol. 289(C).
    16. Yaoyao Wu & Hanqi Liao & Lei Fang & Guizhen Guo, 2023. "Quantitative Study on Agricultural Premium Rate and Its Distribution in China," Land, MDPI, vol. 12(1), pages 1-14, January.
    17. Gong, Xuche & Feng, Hongli & Hennessy, David A., 2018. "Systemic Risk, Geography and Area Insurance," 2018 Annual Meeting, August 5-7, Washington, D.C. 274479, Agricultural and Applied Economics Association.
    18. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Yong Liu & Alan P. Ker, 2021. "Simultaneous borrowing of information across space and time for pricing insurance contracts: An application to rating crop insurance policies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 231-257, March.
    20. Ying-Erh Chen & Barry K Goodwin, 2015. "Policy Design of Multi-Year Crop Insurance Contracts with Partial Payments," PLOS ONE, Public Library of Science, vol. 10(12), pages 1-15, December.
    21. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    22. Awondo, Sebastain N., 2019. "Efficiency of region-wide catastrophic weather risk pools: Implications for African Risk Capacity insurance program," Journal of Development Economics, Elsevier, vol. 136(C), pages 111-118.
    23. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
    24. Martínez-Salgueiro, Andrea & Tarrazón-Rodón, María-Antonia, 2020. "Is diversification effective in reducing the systemic risk implied by a market for weather index-based insurance in Spain?," MPRA Paper 119924, University Library of Munich, Germany, revised 19 May 2021.
    25. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    26. Franziska Gaupp & Georg Pflug & Stefan Hochrainer‐Stigler & Jim Hall & Simon Dadson, 2017. "Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools," Risk Analysis, John Wiley & Sons, vol. 37(11), pages 2212-2228, November.
    27. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
    28. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    29. Xiaotao Li & Jinzheng Ren & Beibei Niu & Haiping Wu, 2020. "Grain Area Yield Index Insurance Ratemaking Based on Time–Space Risk Adjustment in China," Sustainability, MDPI, vol. 12(6), pages 1-15, March.
    30. Yuehua Zhang & Ying Cao & H. Holly Wang, 2018. "Cheating? The Case of Producers’ Under‐Reporting Behavior in Hog Insurance in China," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 66(3), pages 489-510, September.
    31. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.

  25. Härdle, Wolfgang Karl & López Cabrera, Brenda & Okhrin, Ostap & Wang, Weining, 2010. "Localising temperature risk," SFB 649 Discussion Papers 2011-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers 2011-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Scheffel, Juliane, 2011. "Compensation of unusual working schedules," SFB 649 Discussion Papers 2011-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2014. "A consistent two-factor model for pricing temperature derivatives," SFB 649 Discussion Papers 2014-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Mechtenberg, Lydia & Münster, Johannes, 2011. "A strategic mediator who is biased into the same direction as the expert can improve information transmission," SFB 649 Discussion Papers 2011-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Santiago Moreno-Bromberg & Luca Taschini, 2011. "Pollution Permits, Strategic Trading and Dynamic Technology Adoption," CESifo Working Paper Series 3399, CESifo.
    7. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011. "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Stahlschmidt, Stephan & Tausendteufel, Helmut & Härdle, Wolfgang Karl, 2011. "Bayesian Networks and sex-related homicides," SFB 649 Discussion Papers 2011-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Raffaele Fiocco & Mario Gilli, 2011. "Bargaining and Collusion in a Regulatory Model," Working Papers 207, University of Milano-Bicocca, Department of Economics, revised Mar 2011.
    12. Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers 2011-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Shen, Zhiwei, 2016. "Adaptive local parametric estimation of crop yields: implication for crop insurance ratemaking," 156th Seminar, October 4, 2016, Wageningen, The Netherlands 249984, European Association of Agricultural Economists.
    16. Naujokat, Felix & Horst, Ulrich, 2011. "When to cross the spread: Curve following with singular control," SFB 649 Discussion Papers 2011-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Gentle, James E. & Härdle, Wolfgang Karl & Mori, Yuichi, 2011. "How computational statistics became the backbone of modern data science," SFB 649 Discussion Papers 2011-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Bertrand, Aurelie & Hafner, Christian, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA 2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Hautsch, Nikolaus & Huang, Ruihong, 2011. "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers 2011-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Fiocco, Raffaele & Scarpa, Carlo, 2011. "The regulation of interdependent markets," SFB 649 Discussion Papers 2011-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    22. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    24. Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    25. Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    26. Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    27. Grochowicz, Aleksander & Benth, Fred Espen & Zeyringer, Marianne, 2024. "Spatio-temporal smoothing and dynamics of different electricity flexibility options for highly renewable energy systems—Case study for Norway," Applied Energy, Elsevier, vol. 356(C).
    28. Kratz, Peter & Schöneborn, Torsten, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers 2011-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    29. Härdle, Wolfgang Karl & Osipenko, Maria, 2011. "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers 2011-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    30. Bindseil, Ulrich & König, Philipp Johann, 2011. "The economics of TARGET2 balances," SFB 649 Discussion Papers 2011-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    31. Wolfgang Karl Härdle & Brenda López Cabrera & Awdesch Melzer, 2021. "Pricing wind power futures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 1083-1102, August.
    32. Cebiroğlu, Gökhan & Horst, Ulrich, 2011. "Optimal display of Iceberg orders," SFB 649 Discussion Papers 2011-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    33. Tischer, Sven & Hildebrandt, Lutz, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers 2011-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    34. Bibinger, Markus, 2011. "Asymptotics of asynchronicity," SFB 649 Discussion Papers 2011-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Bibinger, Markus, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers 2011-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    36. Meyer-Gohde, Alexander, 2011. "Monetary policy, determinacy, and the natural rate hypothesis," SFB 649 Discussion Papers 2011-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    37. López Cabrera, Brenda & Schulz, Franziska, 2013. "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers 2013-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    38. Hofmann, Dirk & Qari, Salmai, 2011. "The law of attraction bilateral search and horizontal heterogeneity," SFB 649 Discussion Papers 2011-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    39. Melzer, Awdesch & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2017. "Pricing Green Financial Products," SFB 649 Discussion Papers 2017-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    40. Schneider, Dorothee, 2011. "The labor share: A review of theory and evidence," SFB 649 Discussion Papers 2011-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    41. Moreno-Bromberg, Santiago & Pirvu, Traian A. & Réveillac, Anthony, 2011. "CRRA utility maximization under risk constraints," SFB 649 Discussion Papers 2011-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  26. Härdle, Wolfgang Karl & López Cabrera, Brenda & Okhrin, Ostap & Wang, Weining, 2010. "Localising temperature risk," SFB 649 Discussion Papers 2011-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers 2011-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Scheffel, Juliane, 2011. "Compensation of unusual working schedules," SFB 649 Discussion Papers 2011-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2014. "A consistent two-factor model for pricing temperature derivatives," SFB 649 Discussion Papers 2014-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Mechtenberg, Lydia & Münster, Johannes, 2011. "A strategic mediator who is biased into the same direction as the expert can improve information transmission," SFB 649 Discussion Papers 2011-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Santiago Moreno-Bromberg & Luca Taschini, 2011. "Pollution Permits, Strategic Trading and Dynamic Technology Adoption," CESifo Working Paper Series 3399, CESifo.
    7. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011. "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Stahlschmidt, Stephan & Tausendteufel, Helmut & Härdle, Wolfgang Karl, 2011. "Bayesian Networks and sex-related homicides," SFB 649 Discussion Papers 2011-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Raffaele Fiocco & Mario Gilli, 2011. "Bargaining and Collusion in a Regulatory Model," Working Papers 207, University of Milano-Bicocca, Department of Economics, revised Mar 2011.
    12. Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers 2011-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Shen, Zhiwei, 2016. "Adaptive local parametric estimation of crop yields: implication for crop insurance ratemaking," 156th Seminar, October 4, 2016, Wageningen, The Netherlands 249984, European Association of Agricultural Economists.
    16. Naujokat, Felix & Horst, Ulrich, 2011. "When to cross the spread: Curve following with singular control," SFB 649 Discussion Papers 2011-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Gentle, James E. & Härdle, Wolfgang Karl & Mori, Yuichi, 2011. "How computational statistics became the backbone of modern data science," SFB 649 Discussion Papers 2011-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Bertrand, Aurelie & Hafner, Christian, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA 2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Hautsch, Nikolaus & Huang, Ruihong, 2011. "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers 2011-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Fiocco, Raffaele & Scarpa, Carlo, 2011. "The regulation of interdependent markets," SFB 649 Discussion Papers 2011-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    22. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    24. Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    25. Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    26. Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    27. Grochowicz, Aleksander & Benth, Fred Espen & Zeyringer, Marianne, 2024. "Spatio-temporal smoothing and dynamics of different electricity flexibility options for highly renewable energy systems—Case study for Norway," Applied Energy, Elsevier, vol. 356(C).
    28. Kratz, Peter & Schöneborn, Torsten, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers 2011-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    29. Härdle, Wolfgang Karl & Osipenko, Maria, 2011. "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers 2011-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    30. Bindseil, Ulrich & König, Philipp Johann, 2011. "The economics of TARGET2 balances," SFB 649 Discussion Papers 2011-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    31. Wolfgang Karl Härdle & Brenda López Cabrera & Awdesch Melzer, 2021. "Pricing wind power futures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 1083-1102, August.
    32. Cebiroğlu, Gökhan & Horst, Ulrich, 2011. "Optimal display of Iceberg orders," SFB 649 Discussion Papers 2011-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    33. Tischer, Sven & Hildebrandt, Lutz, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers 2011-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    34. Bibinger, Markus, 2011. "Asymptotics of asynchronicity," SFB 649 Discussion Papers 2011-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Bibinger, Markus, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers 2011-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    36. Meyer-Gohde, Alexander, 2011. "Monetary policy, determinacy, and the natural rate hypothesis," SFB 649 Discussion Papers 2011-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    37. López Cabrera, Brenda & Schulz, Franziska, 2013. "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers 2013-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    38. Hofmann, Dirk & Qari, Salmai, 2011. "The law of attraction bilateral search and horizontal heterogeneity," SFB 649 Discussion Papers 2011-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    39. Melzer, Awdesch & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2017. "Pricing Green Financial Products," SFB 649 Discussion Papers 2017-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    40. Schneider, Dorothee, 2011. "The labor share: A review of theory and evidence," SFB 649 Discussion Papers 2011-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    41. Moreno-Bromberg, Santiago & Pirvu, Traian A. & Réveillac, Anthony, 2011. "CRRA utility maximization under risk constraints," SFB 649 Discussion Papers 2011-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  27. Härdle, Wolfgang Karl & Okhrin, Ostap & Okhrin, Yarema, 2010. "Time varying hierarchical archimedean copulae," SFB 649 Discussion Papers 2010-018, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Fengler, Matthias R. & Okhrin, Ostap, 2012. "Realized copula," SFB 649 Discussion Papers 2012-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    3. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
    4. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012. "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers 2012-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  28. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
    2. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Baranovski, Alexander L., 2010. "Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling," SFB 649 Discussion Papers 2010-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
    5. Ulrich Horst & Santiago Moreno-Bromberg, 2011. "Efficiency and Equilibria in Games of Optimal Derivative Design," Papers 1107.0839, arXiv.org.
    6. Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    9. Härdle, Wolfgang Karl & Moro, Rouslan A. & Hoffmann, Linda, 2010. "Learning machines supporting bankruptcy prediction," SFB 649 Discussion Papers 2010-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    14. Hecht, Carolin & Hanewald, Katja, 2010. "Sociodemographic, economic, and psychological drivers of the demand for life insurance: Evidence from the German Retirement Income Act," SFB 649 Discussion Papers 2010-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  29. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    2. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012. "Copula dynamics in CDOs," SFB 649 Discussion Papers 2012-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  30. Xu, Wei & Filler, Gunther & Odening, Martin & Okhrin, Ostap, 2009. "On the Systemic Nature of Weather Risk," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49131, Agricultural and Applied Economics Association.

    Cited by:

    1. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    2. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Zhiwei Shen & Martin Odening, 2013. "Coping with systemic risk in index-based crop insurance," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 1-13, January.
    4. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    5. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Günther Filler & Martin Odening & Harald Grethe & Dieter Kirschke, 2010. "Preis- und Ertragsrisiken auf Agrarmärkten in Deutschland," Journal of Socio-Economics in Agriculture (Until 2015: Yearbook of Socioeconomics in Agriculture), Swiss Society for Agricultural Economics and Rural Sociology, vol. 3(1), pages 77-108.
    7. Baranovski, Alexander & von Lieres und Wilkau, Carsten & Wilch, André, 2009. "New recipes for estimating default intensities," SFB 649 Discussion Papers 2009-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Bokusheva, Raushan, 2010. "Measuring the dependence structure between yield and weather variables," MPRA Paper 22786, University Library of Munich, Germany.
    9. Bobojonov, Ihtiyor & Sommer, Rolf, 2011. "Alternative Insurance Indexes for Drought Risk in Developing Countries," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114256, European Association of Agricultural Economists.
    10. Ritter, Matthias & Musshoff, Oliver & Odening, Martin, 2012. "Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122527, European Association of Agricultural Economists.
    11. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
    12. Raushan Bokusheva, 2011. "Measuring dependence in joint distributions of yield and weather variables," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(1), pages 120-141, May.
    13. Liu, Xiaoliang & Xu, Wei & Odening, Martin, 2010. "Lassen Sich Ertragsrisiken In Der Landwirtschaft Global Diversifizieren?," 50th Annual Conference, Braunschweig, Germany, September 29-October 1, 2010 93955, German Association of Agricultural Economists (GEWISOLA).
    14. Fan, Qi & Tan, Ken Seng & Zhang, Jinggong, 2023. "Empirical tail risk management with model-based annealing random search," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 106-124.
    15. Buchholz, Matthias & Musshoff, Oliver, 2014. "The role of weather derivatives and portfolio effects in agricultural water management," 2014 Conference (58th), February 4-7, 2014, Port Macquarie, Australia 165812, Australian Agricultural and Resource Economics Society.
    16. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Schulte-Geers, Matthias & Berg, Ernst, 2011. "Modelling farm production risk with copulae instead of correlations," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115996, European Association of Agricultural Economists.
    18. Chung, Wonho, 2013. "Reducing the Social Cost of Federal Crop Insurance: A Role for US Government Hedging with Weather Derivatives," Journal of Rural Development/Nongchon-Gyeongje, Korea Rural Economic Institute, vol. 36(2), pages 1-26, August.
    19. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    20. Franziska Gaupp & Georg Pflug & Stefan Hochrainer‐Stigler & Jim Hall & Simon Dadson, 2017. "Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools," Risk Analysis, John Wiley & Sons, vol. 37(11), pages 2212-2228, November.
    21. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    22. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  31. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO pricing with copulae," SFB 649 Discussion Papers 2009-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    2. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  32. Filler, Guenther & Odening, Martin & Okhrin, Ostap & Xu, Wei, 2009. "On the systemic nature of weather risk," SFB 649 Discussion Papers 2009-002, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    2. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Zhiwei Shen & Martin Odening, 2013. "Coping with systemic risk in index-based crop insurance," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 1-13, January.
    4. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    5. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Günther Filler & Martin Odening & Harald Grethe & Dieter Kirschke, 2010. "Preis- und Ertragsrisiken auf Agrarmärkten in Deutschland," Journal of Socio-Economics in Agriculture (Until 2015: Yearbook of Socioeconomics in Agriculture), Swiss Society for Agricultural Economics and Rural Sociology, vol. 3(1), pages 77-108.
    7. Baranovski, Alexander & von Lieres und Wilkau, Carsten & Wilch, André, 2009. "New recipes for estimating default intensities," SFB 649 Discussion Papers 2009-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Bokusheva, Raushan, 2010. "Measuring the dependence structure between yield and weather variables," MPRA Paper 22786, University Library of Munich, Germany.
    9. Bobojonov, Ihtiyor & Sommer, Rolf, 2011. "Alternative Insurance Indexes for Drought Risk in Developing Countries," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114256, European Association of Agricultural Economists.
    10. Ritter, Matthias & Musshoff, Oliver & Odening, Martin, 2012. "Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122527, European Association of Agricultural Economists.
    11. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
    12. Raushan Bokusheva, 2011. "Measuring dependence in joint distributions of yield and weather variables," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(1), pages 120-141, May.
    13. Liu, Xiaoliang & Xu, Wei & Odening, Martin, 2010. "Lassen Sich Ertragsrisiken In Der Landwirtschaft Global Diversifizieren?," 50th Annual Conference, Braunschweig, Germany, September 29-October 1, 2010 93955, German Association of Agricultural Economists (GEWISOLA).
    14. Fan, Qi & Tan, Ken Seng & Zhang, Jinggong, 2023. "Empirical tail risk management with model-based annealing random search," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 106-124.
    15. Buchholz, Matthias & Musshoff, Oliver, 2014. "The role of weather derivatives and portfolio effects in agricultural water management," 2014 Conference (58th), February 4-7, 2014, Port Macquarie, Australia 165812, Australian Agricultural and Resource Economics Society.
    16. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Schulte-Geers, Matthias & Berg, Ernst, 2011. "Modelling farm production risk with copulae instead of correlations," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115996, European Association of Agricultural Economists.
    18. Chung, Wonho, 2013. "Reducing the Social Cost of Federal Crop Insurance: A Role for US Government Hedging with Weather Derivatives," Journal of Rural Development/Nongchon-Gyeongje, Korea Rural Economic Institute, vol. 36(2), pages 1-26, August.
    19. Feng, Xiaoguang & Hayes, Dermot J., 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," ISU General Staff Papers 201410010700001002, Iowa State University, Department of Economics.
    20. Franziska Gaupp & Georg Pflug & Stefan Hochrainer‐Stigler & Jim Hall & Simon Dadson, 2017. "Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools," Risk Analysis, John Wiley & Sons, vol. 37(11), pages 2212-2228, November.
    21. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
    22. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  33. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO pricing with copulae," SFB 649 Discussion Papers 2009-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    2. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  34. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2009. "Properties of hierarchical Archimedean copulas," SFB 649 Discussion Papers 2009-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
    2. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    3. Göran Kauermann & Christian Schellhase & David Ruppert, 2013. "Flexible Copula Density Estimation with Penalized Hierarchical B-splines," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 685-705, December.
    4. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
    6. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2013. "Goodness-of-fit test for specification of semiparametric copula dependence models," SFB 649 Discussion Papers 2013-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Awondo, Sebastain N. & Shurley, Don W., 2017. "On the Efficiency of Pseudo Risk Pools and Proxy Yield Data on Crop Insurance and Reinsurance in U.S," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258566, Agricultural and Applied Economics Association.
    9. Göran Kauermann & Renate Meyer, 2014. "Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas," Computational Statistics, Springer, vol. 29(1), pages 283-306, February.
    10. Jakob Kevin & Fischer Matthias, 2014. "Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-21.
    11. Osama Ahmed & Teresa Serra, 2015. "Economic analysis of the introduction of agricultural revenue insurance contracts in Spain using statistical copulas," Agricultural Economics, International Association of Agricultural Economists, vol. 46(1), pages 69-79, January.
    12. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
    13. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
    14. Benjamin Poignard & Jean-David Fermanian, 2019. "The finite sample properties of Sparse M-estimators with Pseudo-Observations," Working Papers 2019-01, Center for Research in Economics and Statistics.
    15. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
    16. Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015. "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance 1513, University of St. Gallen, School of Finance.
    17. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012. "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers 2012-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    20. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
    21. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
    22. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  35. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2009. "Properties of hierarchical Archimedean copulas," SFB 649 Discussion Papers 2009-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
    2. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    3. Göran Kauermann & Christian Schellhase & David Ruppert, 2013. "Flexible Copula Density Estimation with Penalized Hierarchical B-splines," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 685-705, December.
    4. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
    6. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2013. "Goodness-of-fit test for specification of semiparametric copula dependence models," SFB 649 Discussion Papers 2013-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Awondo, Sebastain N. & Shurley, Don W., 2017. "On the Efficiency of Pseudo Risk Pools and Proxy Yield Data on Crop Insurance and Reinsurance in U.S," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258566, Agricultural and Applied Economics Association.
    9. Göran Kauermann & Renate Meyer, 2014. "Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas," Computational Statistics, Springer, vol. 29(1), pages 283-306, February.
    10. Jakob Kevin & Fischer Matthias, 2014. "Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-21.
    11. Osama Ahmed & Teresa Serra, 2015. "Economic analysis of the introduction of agricultural revenue insurance contracts in Spain using statistical copulas," Agricultural Economics, International Association of Agricultural Economists, vol. 46(1), pages 69-79, January.
    12. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
    13. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
    14. Benjamin Poignard & Jean-David Fermanian, 2019. "The finite sample properties of Sparse M-estimators with Pseudo-Observations," Working Papers 2019-01, Center for Research in Economics and Statistics.
    15. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
    16. Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015. "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance 1513, University of St. Gallen, School of Finance.
    17. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012. "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers 2012-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    20. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
    21. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
    22. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  36. Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "De copulis non est disputandum - Copulae: An overview," SFB 649 Discussion Papers 2009-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    2. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Fabrizio Durante & Roberto Ghiselli-Ricci, 2012. "Supermigrative copulas and positive dependence," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 327-342, July.
    5. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Liu, Xiaoliang & Xu, Wei & Odening, Martin, 2011. "Can crop yield risk be globally diversified?," SFB 649 Discussion Papers 2011-018, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Dickhaus, Thorsten & Gierl, Jakob, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers 2012-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
    9. Christian Schellhase & Torben Kuhlenkasper, 2017. "Semi-parametric estimation of income mobility with D‑vines using bivariate penalised splines," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 11(2), pages 107-134, October.

  37. Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "De copulis non est disputandum - Copulae: An overview," SFB 649 Discussion Papers 2009-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    2. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Fabrizio Durante & Roberto Ghiselli-Ricci, 2012. "Supermigrative copulas and positive dependence," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 327-342, July.
    5. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Liu, Xiaoliang & Xu, Wei & Odening, Martin, 2011. "Can crop yield risk be globally diversified?," SFB 649 Discussion Papers 2011-018, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Dickhaus, Thorsten & Gierl, Jakob, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers 2012-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
    9. Christian Schellhase & Torben Kuhlenkasper, 2017. "Semi-parametric estimation of income mobility with D‑vines using bivariate penalised splines," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 11(2), pages 107-134, October.

  38. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo.
    2. Grajek, Michał & Röller, Lars-Hendrik, 2009. "Regulation and investment in network industries: Evidence from European telecoms," SFB 649 Discussion Papers 2009-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers 2009-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012. "Copula dynamics in CDOs," SFB 649 Discussion Papers 2012-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  39. Härdle, Wolfgang Karl & Okhrin, Ostap & Okhrin, Yarema, 2008. "Modeling dependencies in finance using copulae," SFB 649 Discussion Papers 2008-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Fengler, Matthias R. & Okhrin, Ostap, 2012. "Realized copula," SFB 649 Discussion Papers 2012-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Raushan Bokusheva, 2011. "Measuring dependence in joint distributions of yield and weather variables," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(1), pages 120-141, May.
    3. Liu, Xiaoliang & Xu, Wei & Odening, Martin, 2010. "Lassen Sich Ertragsrisiken In Der Landwirtschaft Global Diversifizieren?," 50th Annual Conference, Braunschweig, Germany, September 29-October 1, 2010 93955, German Association of Agricultural Economists (GEWISOLA).
    4. Xu, Wei & Filler, Gunther & Odening, Martin & Okhrin, Ostap, 2009. "On the Systemic Nature of Weather Risk," 2009 Conference, August 16-22, 2009, Beijing, China 51426, International Association of Agricultural Economists.

Articles

  1. Nepp, Alexander & Okhrin, Ostap & Egorova, Julia & Dzhuraeva, Zarnigor & Zykov, Alexander, 2022. "What threatens stock markets more - The coronavirus or the hype around it?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 519-539.

    Cited by:

    1. Pham, Linh & Kamal, Javed Bin, 2024. "Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?," Journal of Commodity Markets, Elsevier, vol. 34(C).
    2. Kamal, Javed Bin & Wohar, Mark, 2023. "Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic," International Economics, Elsevier, vol. 173(C), pages 68-85.
    3. Ammari, Aymen & Chebbi, Kaouther & Ben Arfa, Nouha, 2023. "How does the COVID-19 pandemic shape the relationship between Twitter sentiment and stock liquidity of US firms?," International Review of Financial Analysis, Elsevier, vol. 88(C).
    4. Hong, Yun & Jiang, Yanhui & Su, Xiaojian & Deng, Chao, 2024. "Extreme state media reporting and the extreme stock market during COVID-19: A multi-quantile VaR Granger causality approach in China," Research in International Business and Finance, Elsevier, vol. 67(PA).

  2. Stephan Brunow & Stefanie Lösch & Ostap Okhrin, 2022. "Labor market tightness and individual wage growth: evidence from Germany," Journal for Labour Market Research, Springer;Institute for Employment Research/ Institut für Arbeitsmarkt- und Berufsforschung (IAB), vol. 56(1), pages 1-21, December.

    Cited by:

    1. Kroczek, Martin & Koch, Andreas, 2024. "The reaction of wages to skill shortage in nursing," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302406, Verein für Socialpolitik / German Economic Association.

  3. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: investigating the crypto-market," Quantitative Finance, Taylor & Francis Journals, vol. 22(9), pages 1731-1745, September.
    See citations under working paper version above.
  4. Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.

    Cited by:

    1. Martin Hrba & Matúš Maciak & Barbora Peštová & Michal Pešta, 2022. "Bootstrapping Not Independent and Not Identically Distributed Data," Mathematics, MDPI, vol. 10(24), pages 1-26, December.
    2. Rodi Lykou & George Tsaklidis, 2021. "Particle Filtering: A Priori Estimation of Observational Errors of a State-Space Model with Linear Observation Equation," Mathematics, MDPI, vol. 9(12), pages 1-16, June.

  5. Bodnar, Taras & Okhrin, Ostap & Parolya, Nestor, 2019. "Optimal shrinkage estimator for high-dimensional mean vector," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 63-79.
    See citations under working paper version above.
  6. Audrino Francesco & Huang Chen & Okhrin Ostap, 2019. "Flexible HAR model for realized volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(3), pages 1-22, June.

    Cited by:

    1. Verena Monschang & Bernd Wilfling, 2022. "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers 9722, Center for Quantitative Economics (CQE), University of Muenster.
    2. Zhifeng Dai & Tingyu Li & Mi Yang, 2022. "Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 980-996, August.
    3. Won-Tak Hong & Jiwon Lee & Eunju Hwang, 2020. "A Note on the Asymptotic Normality Theory of the Least Squares Estimates in Multivariate HAR-RV Models," Mathematics, MDPI, vol. 8(11), pages 1-18, November.
    4. Golosnoy, Vasyl & Gribisch, Bastian, 2022. "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, vol. 138(C).
    5. Mei, Dexiang & Ma, Feng & Liao, Yin & Wang, Lu, 2020. "Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models," Energy Economics, Elsevier, vol. 86(C).
    6. Naimoli, Antonio, 2022. "Modelling the persistence of Covid-19 positivity rate in Italy," Socio-Economic Planning Sciences, Elsevier, vol. 82(PA).
    7. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    8. Lyócsa, Štefan & Todorova, Neda, 2024. "Forecasting of clean energy market volatility: The role of oil and the technology sector," Energy Economics, Elsevier, vol. 132(C).
    9. Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2021. "Forecasting realised volatility: Does the LASSO approach outperform HAR?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    10. Tian Xie, 2019. "Forecast Bitcoin Volatility with Least Squares Model Averaging," Econometrics, MDPI, vol. 7(3), pages 1-20, September.

  7. Zhiwei Shen & Martin Odening & Ostap Okhrin, 2018. "Adaptive local parametric estimation of crop yields: implications for crop insurance rate making," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 45(2), pages 173-203.

    Cited by:

    1. Yong Liu & Alan P. Ker, 2021. "Simultaneous borrowing of information across space and time for pricing insurance contracts: An application to rating crop insurance policies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 231-257, March.
    2. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.

  8. Okhrin, Ostap & Xu, Ya Fei, 2017. "A comparison study of pricing credit default swap index tranches with convex combination of copulae," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 193-217.

    Cited by:

    1. Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020. "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers 2012.04181, arXiv.org.
    3. Andrew Carverhill & Dan Luo, 2020. "Pricing and integration of credit default swap index tranches," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 503-526, April.

  9. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.

    Cited by:

    1. Zhu, Xiaoqian & Wei, Lu & Li, Jianping, 2021. "A two-stage general approach to aggregate multiple bank risks," Finance Research Letters, Elsevier, vol. 40(C).
    2. Guo, Peng & Chen, Si & Chu, Jingchun & Infield, David, 2020. "Wind direction fluctuation analysis for wind turbines," Renewable Energy, Elsevier, vol. 162(C), pages 1026-1035.
    3. Quanrui Song & Jianxu Liu & Songsak Sriboonchitta, 2019. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
    4. Alessandro Barbiero, 2021. "Inducing a desired value of correlation between two point-scale variables: a two-step procedure using copulas," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(2), pages 307-334, June.
    5. Perreault, Samuel & Duchesne, Thierry & Nešlehová, Johanna G., 2019. "Detection of block-exchangeable structure in large-scale correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 400-422.
    6. Dodo Natatou Moutari & Hassane Abba Mallam & Diakarya Barro & Bisso Saley, 2021. "Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs," Papers 2105.09473, arXiv.org.

  10. Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2016. "Localizing Temperature Risk," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1491-1508, October.
    See citations under working paper version above.
  11. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.

    Cited by:

    1. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    2. Quanrui Song & Jianxu Liu & Songsak Sriboonchitta, 2019. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
    3. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
    4. Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
    5. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, vol. 5(3), pages 1-3, July.
    6. Rewat Khanthaporn, 2022. "Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields," PIER Discussion Papers 183, Puey Ungphakorn Institute for Economic Research.

  12. Zhiwei Shen & Martin Odening & Ostap Okhrin, 2016. "Can expert knowledge compensate for data scarcity in crop insurance pricing?," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 43(2), pages 237-269.
    See citations under working paper version above.
  13. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016. "Goodness-of-fit test for specification of semiparametric copula dependence models," Journal of Econometrics, Elsevier, vol. 193(1), pages 215-233.
    See citations under working paper version above.
  14. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2016. "A semiparametric factor model for CDO surfaces dynamics," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 151-163.

    Cited by:

    1. Burdejová, Petra & Härdle, Wolfgang Karl, 2017. "Dynamic semi-parametric factor model for functional expectiles," SFB 649 Discussion Papers 2017-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  15. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2015. "Hidden Markov Structures For Dynamic Copulae," Econometric Theory, Cambridge University Press, vol. 31(5), pages 981-1015, October.

    Cited by:

    1. Shih-Feng Huang & Hsin-Han Chiang & Yu-Jun Lin, 2021. "A network autoregressive model with GARCH effects and its applications," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-18, July.
    2. Xiaoning Kang & Xinwei Deng & Kam‐Wah Tsui & Mohsen Pourahmadi, 2020. "On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices," International Statistical Review, International Statistical Institute, vol. 88(3), pages 616-641, December.
    3. Marius Ötting & Roland Langrock & Antonello Maruotti, 2023. "A copula-based multivariate hidden Markov model for modelling momentum in football," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(1), pages 9-27, March.
    4. Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
    5. Marius Ötting & Dimitris Karlis, 2023. "Football tracking data: a copula-based hidden Markov model for classification of tactics in football," Annals of Operations Research, Springer, vol. 325(1), pages 167-183, June.
    6. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
    7. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
    8. Costanza Naguib & Patrick Gagliardini, 2023. "A Semi-nonparametric Copula Model for Earnings Mobility," Diskussionsschriften dp2302, Universitaet Bern, Departement Volkswirtschaft.
    9. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    10. Naumzik, Christof & Feuerriegel, Stefan & Nielsen, Anne Molgaard, 2023. "Data-driven dynamic treatment planning for chronic diseases," European Journal of Operational Research, Elsevier, vol. 305(2), pages 853-867.

  16. Xiaofeng Cao & Ostap Okhrin & Martin Odening & Matthias Ritter, 2015. "Modelling spatio-temporal variability of temperature," Computational Statistics, Springer, vol. 30(3), pages 745-766, September.
    See citations under working paper version above.
  17. Pešta, Michal & Okhrin, Ostap, 2014. "Conditional least squares and copulae in claims reserving for a single line of business," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 28-37.

    Cited by:

    1. Ashu Tiwari & Archana Patro, 2018. "Memory, Risk Aversion, and Nonlife Insurance Consumption: Evidence from Emerging and Developing Markets," Risks, MDPI, vol. 6(4), pages 1-17, December.
    2. Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.
    3. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," JRFM, MDPI, vol. 13(12), pages 1-33, December.
    4. Ioannis Badounas & Georgios Pitselis, 2020. "Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model," Risks, MDPI, vol. 8(1), pages 1-26, February.
    5. Martin Eling & Ruo Jia, 2017. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2014 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 63-77, March.
    6. Massimo De Felice & Franco Moriconi, 2019. "Claim Watching and Individual Claims Reserving Using Classification and Regression Trees," Risks, MDPI, vol. 7(4), pages 1-36, October.
    7. Michal Pešta, 2021. "Changepoint in Error-Prone Relations," Mathematics, MDPI, vol. 9(1), pages 1-25, January.
    8. Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2017. "Reserve modelling and the aggregation of risks using time varying copula models," Economic Modelling, Elsevier, vol. 67(C), pages 149-158.
    9. Dietmar Pfeifer & Olena Ragulina, 2018. "Generating VaR Scenarios under Solvency II with Product Beta Distributions," Risks, MDPI, vol. 6(4), pages 1-15, October.
    10. Michal Gerthofer & Michal Pešta, 2017. "Stochastic Claims Reserving in Insurance Using Random Effects," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(5), pages 542-560.
    11. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2018. "Dynamic and granular loss reserving with copulae," Papers 1801.01792, arXiv.org.
    12. Martin Hrba & Matúš Maciak & Barbora Peštová & Michal Pešta, 2022. "Bootstrapping Not Independent and Not Identically Distributed Data," Mathematics, MDPI, vol. 10(24), pages 1-26, December.
    13. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2019. "Infinitely Stochastic Micro Forecasting," Papers 1908.10636, arXiv.org, revised Sep 2019.

  18. Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
    See citations under working paper version above.
  19. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
    See citations under working paper version above.
  20. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
    See citations under working paper version above.
  21. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.

    Cited by:

    1. Walter Krämer, 2020. "Interview mit Wolfgang Schmid," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 14(1), pages 103-111, March.
    2. Chaoubi, Ihsan & Cossette, Hélène & Marceau, Etienne & Robert, Christian Y., 2021. "Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs," Computational Statistics & Data Analysis, Elsevier, vol. 154(C).
    3. Yang, Lu & Cai, Xiao Jing & Li, Mengling & Hamori, Shigeyuki, 2015. "Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas," Economic Modelling, Elsevier, vol. 51(C), pages 308-314.
    4. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
    5. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2013. "Goodness-of-fit test for specification of semiparametric copula dependence models," SFB 649 Discussion Papers 2013-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    7. Durante, Fabrizio & Okhrin, Ostap, 2014. "Estimation procedures for exchangeable Marshall copulas with hydrological application," SFB 649 Discussion Papers 2014-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Górecki J. & Hofert M. & Holeňa M., 2017. "Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 75-87, January.
    9. Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
    10. Benjamin Poignard & Jean-David Fermanian, 2022. "The finite sample properties of sparse M-estimators with pseudo-observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(1), pages 1-31, February.
    11. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2015. "Clustering of time series via non-parametric tail dependence estimation," Statistical Papers, Springer, vol. 56(3), pages 701-721, August.
    12. A. Ford Ramsey & Barry K. Goodwin, 2019. "Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    13. Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Étienne & Mtalai, Itre, 2017. "Hierarchical Archimedean copulas through multivariate compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 1-13.
    14. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012. "Copula dynamics in CDOs," SFB 649 Discussion Papers 2012-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    16. Wolfgang Härdle & Ostap Okhrin, 2010. "De copulis non est disputandum," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 1-31, March.
    17. Jörg Schwiebert, 2016. "Multinomial choice models based on Archimedean copulas," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(3), pages 333-354, July.
    18. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
    19. Benjamin Poignard & Jean-David Fermanian, 2019. "The finite sample properties of Sparse M-estimators with Pseudo-Observations," Working Papers 2019-01, Center for Research in Economics and Statistics.
    20. Nathan Uyttendaele, 2018. "On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison," Computational Statistics, Springer, vol. 33(2), pages 1047-1070, June.
    21. Yong Ma & Zhengjun Zhang & Weiguo Zhang & Weidong Xu, 2015. "Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 647-668, April.
    22. Mai Jan-Frederik, 2019. "Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case," Dependence Modeling, De Gruyter, vol. 7(1), pages 202-214, January.
    23. Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Papers 2411.06640, arXiv.org.
    24. Eling, Martin & Jung, Kwangmin, 2020. "Risk aggregation in non-life insurance: Standard models vs. internal models," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 183-198.
    25. Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem," Working Papers 2123/14745, University of Sydney Business School, Discipline of Business Analytics.
    26. Segers, Johan & Uyttendaele, Nathan, 2013. "Nonparametric estimation of the tree structure of a nested Archimedean copula," LIDAM Discussion Papers ISBA 2013009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    27. Grothe, Oliver & Hofert, Marius, 2015. "Construction and sampling of Archimedean and nested Archimedean Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 182-198.
    28. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2018. "Dynamic and granular loss reserving with copulae," Papers 1801.01792, arXiv.org.
    29. Quanrui Song & Jianxu Liu & Songsak Sriboonchitta, 2019. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
    30. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: Investigating the Crypto-market," Papers 2203.10777, arXiv.org.
    31. Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
    32. Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.
    33. Han, Yingwei & Li, Jie, 2022. "Should investors include green bonds in their portfolios? Evidence for the USA and Europe," International Review of Financial Analysis, Elsevier, vol. 80(C).
    34. Yuri Salazar Flores & Adán Díaz-Hernández, 2022. "The General Tail Dependence Function in the Marshall-Olkin and Other Parametric Copula Models with an Application to Financial Time Series," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(1), pages 146-187, May.
    35. Bücher Axel & Jaser Miriam & Min Aleksey, 2021. "Detecting departures from meta-ellipticity for multivariate stationary time series," Dependence Modeling, De Gruyter, vol. 9(1), pages 121-140, January.
    36. Perreault, Samuel & Duchesne, Thierry & Nešlehová, Johanna G., 2019. "Detection of block-exchangeable structure in large-scale correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 400-422.
    37. Härdle Wolfgang Karl & Okhrin Ostap & Okhrin Yarema, 2013. "Dynamic structured copula models," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 361-388, December.
    38. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
    39. Vettori, Sabrina & Huser, Raphael & Segers, Johan & Genton, Marc, 2017. "Bayesian Clustering and Dimension Reduction in Multivariate Extremes," LIDAM Discussion Papers ISBA 2017017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    40. Górecki, Jan & Hofert, Marius & Okhrin, Ostap, 2021. "Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
    41. Manner, Hans & Türk, Dennis & Eichler, Michael, 2016. "Modeling and forecasting multivariate electricity price spikes," Energy Economics, Elsevier, vol. 60(C), pages 255-265.
    42. Enrico Bernardi & Silvia Romagnoli, 2016. "Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 285-310, March.
    43. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
    44. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012. "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers 2012-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    45. Lei, Lei & Peng, Yijie & Fu, Michael C. & Hu, Jian-Qiang, 2023. "Copula sensitivity analysis for portfolio credit derivatives," European Journal of Operational Research, Elsevier, vol. 308(1), pages 455-466.
    46. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, vol. 5(3), pages 1-3, July.
    47. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
    48. Manner, Hans & Stark, Florian & Wied, Dominik, 2019. "Testing for structural breaks in factor copula models," Journal of Econometrics, Elsevier, vol. 208(2), pages 324-345.
    49. Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans, 2014. "Modeling multivariate extreme events using self-exciting point processes," Journal of Econometrics, Elsevier, vol. 182(2), pages 269-289.
    50. Okhrin, Ostap & Xu, Ya Fei, 2017. "A comparison study of pricing credit default swap index tranches with convex combination of copulae," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 193-217.

  22. Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang, 2013. "Properties of hierarchical Archimedean copulas," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 21-54, March.
    See citations under working paper version above.
  23. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.

    Cited by:

    1. D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2016. "Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 989-1007, December.
    2. Stefan Hochrainer-Stigler & Juraj Balkovič & Kadri Silm & Anna Timonina-Farkas, 2019. "Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria," Computational Management Science, Springer, vol. 16(4), pages 651-669, October.
    3. D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2017. "Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 499-516, March.
    4. Bernardi Enrico & Romagnoli Silvia, 2015. "A copula-based hierarchical hybrid loss distribution," Statistics & Risk Modeling, De Gruyter, vol. 32(1), pages 73-87, April.
    5. Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2015. "Copula-based factor model for credit risk analysis," SFB 649 Discussion Papers 2015-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
    7. Enrico Bernardi & Silvia Romagnoli, 2016. "Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 285-310, March.
    8. Anna Timonina & Stefan Hochrainer‐Stigler & Georg Pflug & Brenden Jongman & Rodrigo Rojas, 2015. "Structured Coupling of Probability Loss Distributions: Assessing Joint Flood Risk in Multiple River Basins," Risk Analysis, John Wiley & Sons, vol. 35(11), pages 2102-2119, November.
    9. Fang, Jun & Jiang, Fan & Liu, Yong & Yang, Jingping, 2020. "Copula-based Markov process," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 166-187.
    10. Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Hardle, 2020. "Copula-Based Factor Model for Credit Risk Analysis," Papers 2009.12092, arXiv.org, revised Oct 2020.
    11. Okhrin, Ostap & Xu, Ya Fei, 2017. "A comparison study of pricing credit default swap index tranches with convex combination of copulae," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 193-217.

  24. Härdle Wolfgang Karl & Okhrin Ostap & Okhrin Yarema, 2013. "Dynamic structured copula models," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 361-388, December.

    Cited by:

    1. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.

  25. Wei Xu & Guenther Filler & Martin Odening & Ostap Okhrin, 2010. "On the systemic nature of weather risk," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 70(2), pages 267-284, August.
    See citations under working paper version above.
  26. Wolfgang Härdle & Ostap Okhrin, 2010. "De copulis non est disputandum," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 1-31, March.

    Cited by:

    1. Göran Kauermann & Renate Meyer, 2014. "Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas," Computational Statistics, Springer, vol. 29(1), pages 283-306, February.
    2. Hashorva, Enkelejd & Jaworski, Piotr, 2012. "Gaussian approximation of conditional elliptical copulas," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 397-407.
    3. Dickhaus, Thorsten & Gierl, Jakob, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers 2012-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Tinkl, Fabian & Reichert, Katja, 2011. "Dynamic copula-based Markov chains at work: Theory, testing and performance in modeling daily stock returns," FAU Discussion Papers in Economics 09/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    5. André Neumann & Thorsten Dickhaus, 2020. "Nonparametric Archimedean generator estimation with implications for multiple testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(2), pages 309-323, June.

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