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Prof. Dr. Yarema Okhrin

Ordinarius (Full Professor)
Faculty of Business and Economics
Phone: +49 821 598 - 4152
Fax: +49 821 598 - 4227
Email:
Room: 2317 (J)
Address: Universit?tsstra?e 16, 86159 Augsburg

Research Interests | Forschungsschwerpunkte

  • Quantitative methods in Economics and Finance

  • Statistical process control

  • Applied and financial Econometrics

  • Dependence modelling

Academic career | Wissenschaftlicher Werdegang

  • since Oct. 2009: Full Professor of Statistics, Faculty of Business and Economics,
    University of Augsburg, Germany
  • April 2008 – Sep. 2009: Assistant Professor in Econometrics, Department of Macroeconomics,
    University of Bern, Switzerland
  • Dec. 2007: Habilitation in ?Statistics and Econometrics“,
    European University Viadrina, Frankfurt (Oder), Germany
  • July 2004: Doctoral dissertation (Dr. rer.pol.) with summa cum laude,
    at European University Viadrina, Frankfurt (Oder)
    (Title: Distributional properties and estimation of optimal portfolios, Supervisor: Prof. Dr. Wolfgang Schmid)
  • May 2000 – March 2008: Research/teaching assistant, Department of Statistics,?
    European University Viadrina, Frankfurt (Oder)

Education | Ausbildung

  • Sep. 1999 – April 2000: PhD program "Capital and financial markets in enlarged Europe",
    European University Viadrina, Frankfurt (Oder), Germany
  • June 1999: M.Sc. in Mathematics with honours,?
    Ivan Franko State University, Lviv/Lemberg, Ukraine
  • Sep. 1994 – June 1999: Studies in Mathematics,
    Ivan Franko State University, Lviv/Lemberg, Ukraine. Major: Mathematics, financial and actuarial Mathematics

Academic activities and honours / Akademische Aktivit?ten und Ehrungen

  • Editor-in-Chief of "Advances in Statistical Analysis" (since 2015)
  • Vice-president of the German Statistical Society (2012-2020)
  • Best Teaching Award 2012,?Faculty of Business and Economics, University of Augsburg
  • German Research Foundation (DFG)-Project "Development of sequential statistical methods for detection and identification of changes in matrixvariate processes with application to image analysis, finance and network data" (2023-2025), jointly with HSU Hamburg and EUV Frankfurt (Oder)
  • German Research Foundation (DFG)-Project "Empirical Similarity: estimation, multivariate extensions, and applications" (2019-2021), jointly with University of Bochum
  • German Research Foundation (DFG)-Project "Vine copula base modelling and forecasting of multivariate realized volatility time-series" (2015-2018), jointly with TU Munich
  • German Research Foundation (DFG)-Project "Wishart Processes in Statistics and Econometrics: Theory and Applications" (2011-2013), jointly with HU Berlin
  • Swiss National Foundation (SNF)-Project ?Decisions and forecasting under uncertainty: case-based decision theory and its extensions with applications to finance” (2010-2012)
  • Young Researcher Award 2008 of the federal state of Brandenburg, Germany

Working papers / Work in progress

Golosnoy, Vasyl; Okhrin, Yarema; Roos, Michael (2020):?Empirical similarity for revealing the U.S. interest rate policy: Modeling case-based decisions of the FOMC, submitted.

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Heine, Eugen; Okhrin, Yarema (2022): Matrix variate factor model with application to forecasting realized covariance matrices, submitted?

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Luo, Tianqi; Okhrin, Yarema;?Jayasekera, Ranadeva;?Uddin; Gazi Salah?(2022): RVNET-GARCH: a realized volatility model with network factor, submitted

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Okhrin, Yarema; Wilhelm, Sebastian (2021):?High-frequency stock price multiclass prediction using gated recurrent unit neural networks and technical indicators, submitted

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Okhrin, Yarema; Pfahler, Jonathan; Wustl, Julian (2021): Predicting stock market returns by any memes necessary, submitted

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Okhrin, Yarema; Schmid, Wolfgang, Semenyuk, Ivan (2022): A CNN-based Control Chart for Monitoring Image Processes. r&r

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Okhrin, Yarema; Petruk, Viktoriia; Schmid, Wolfgang (2023): Monitoring Time Dependent Image Processes, submitted

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Gollart, Maximilian; Okhrin, Yarema?; "A reinforcement learning approach to dynamic portfolio optimization under GARCH models", submitted

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Distler, Christine, Okhrin, Yarema; Pfahler, Jonathan (2023) "Computer-Vision-based Bitcoin Price Prediction with Relevance-based Clustering"

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Fottner, Alexander, Okhrin, Yarema, Pfahler, Jonathan (2023) "Explainable k-Mediods Clustering"

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Bodnar, Taras; Okhrin, Yarema; Parolya, Nestor (2023) "Consistent Estimation of the High Dimensional Efficient Frontier"

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Bahromov, Jamol; Golosnoy,?Vasyl;?Okhrin, Yarema (2023) "The Empirical Similarity Approach for Combining Predictions of Portfolio Weights"

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Publications | Publikationen

Jakob, Kevin, et al. (2023) Fast Approximation Methods for Credit Portfolio Risk Calculations, Appears in Digital Finance

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Okhrin, Yarema; Uddin, Gazi Salah; Yahya, Muhammad (2023) Nonlinear and Asymmetric Interconnectedness of Crude oil with Financial and Commodity Markets, Appears in Energy Economics

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Uddin, Gazi Salah; Luo, Tianqi; Yahya, Muhammad; Jayasekera, Ranadeva; Rahman, Juftur; Okhrin, Yarema (2023)?Risk Network of Global Energy Markets,? Appears in Energy Economics?

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Chen,?Cathy Yi-Hsuan; Okhrin, Yarema;??Wang,?Tengyao (2023):?Monitoring network changes in social media,?Appears in:?Journal of Business and Economic Statistics

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Bodnar, Taras; Okhrin, Yarema; Parolya,?Nestor (2023): Optimal shrinkage-based portfolio selection in high dimensions.?Journal of Business and Economic Statistics?41:1,?140-156

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Fottner, Alexander; Okhrin, Yarema; Pfahler, Jonathan; Wustl,?Julian (2022): Reddit financial image post sentiment dataset.?Data in Brief 45,?108759

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Krylova, Maryna; Okhrin, Yarema (2022):?Managing air quality: predicting exceedances of legal limits for PM10 and O3 concentration using machine learning methods.?Environmetrics?33:e2707.

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Okhrin, Yarema; Schmid, Wolfgang; Semeniuk, Ivan (2021): Monitoring Image Processes: Overview and Comparison Study. Frontiers in Statistical Quality Control 13, 143-163.

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Okhrin, Yarema; Schmid,?Wolfgang; Semeniuk, Ivan (2020):?New Approaches for Monitoring Image Data,?IEEE Transactions on Image Processing 30, 921-933. DOI:?10.1109/TIP.2020.3039389

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Bodnar, Taras; Dmytriv, Solomiia; Okhrin, Yarema; Parolya,?Nestor;??Schmid,?Wolfgang (2020):?Statistical inference for the expected utility?portfolio in high dimensions.?IEEE Transactions on Signal Processing?69, 1-14. DOI:?10.1109/TSP.2020.3037369

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Kauermann, G?ran; Kneib, Thomas; Okhrin, Yarema (2020): Editorial. AStA Advances in Statistical Analysis 104(1), S. 1-3. DOI: 10.1007/s10182-020-00361-w

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Chen, Cathy Yi-Hsuan; H?rdle, Wolfgang Karl; Okhrin, Yarema (2019): Tail event driven networks of SIFIs. Journal of Econometrics 208(1), ?282-298. DOI: 10.1016/j.jeconom.2018.09.016

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Barthel, Nicole; Czado, Claudia; Okhrin, Yarema (2019): A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series. Computational Statistics & Data Analysis 142, 106810. DOI: 10.1016/j.csda.2019.106810
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Czado, Claudia; Ivanov, Eugen; Okhrin, Yarema (2019): Modelling temporal dependence of realized variances with vines.?Econometrics and Statistics 12, 198-216. DOI: 10.1016/j.ecosta.2019.03.003
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Okhrin, Yarema; Schmid, Wolfgang (2019): Stochastic Inequalities for the Run Length of the EWMA Chart for Long-Memory Processes.?RevStat 17(1), 67-90.

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Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema (2018): Bayesian inference for the tangent portfolio.?International Journal of Theoretical and Applied Finance 21(08), ?1850054. DOI: 10.1142/s0219024918500541
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Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; Zabolotskyy, Taras (2018): Determination and estimation of risk aversion coefficients. Computational Management Science 15(2), 297-317. DOI: 10.1007/s10287-018-0317-x
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Sousa, Beatriz; Cabral Morais, Manuel; Okhrin, Yarema; Schmid, Wolfgang (2018): GARCH processes and the phenomenon of misleading and unambiguous signals. Applied Stochastic Models in Business and Industry 34(5), 667-681. DOI: 10.1002/asmb.2334

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H?rdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema (2017): Basic Elements of Computational Statistics. Springer.DOI: 10.1007/978-3-319-55336-8
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Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema (2017): Bayesian estimation of the global minimum variance portfolio.?European Journal of Operational Research 256(1),?292-307. DOI: 10.1016/j.ejor.2016.05.044
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Brechmann, Eike Christian; Heiden, Moritz Daniel; Okhrin, Yarema (2016): A multivariate volatility vine copula model. Econometric Reviews 37(4),?281-308. DOI: 10.1080/07474938.2015.1096695

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Lazariv, Taras; Okhrin, Yarema; Schmid, Wolfgang (2015): Behavior of EWMA type control charts for small smoothing parameters. ?Computational Statistics & Data Analysis 89, 115-125. DOI: 10.1016/j.csda.2015.03.010
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Bodnar, T.; Mazur, S.; Okhrin, Yarema (2015): Distribution of the product of a singular Wishart matrix and a normal vector. Theory of Probability and Mathematical Statistics 91,?1-15. DOI: 10.1090/tpms/962
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Morais, Manuel Cabral; Okhrin, Yarema; Schmid, Wolfgang (2015): Quality surveillance with EWMA control charts based on exact control limits. Statistical Papers 56(3),?863-885. DOI: 10.1007/s00362-014-0612-8
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Hardle, Wolfgang Karl; Okhrin, Yarema; Wang, W. (2015): Uniform Confidence Bands for Pricing Kernels. Journal of Financial Econometrics 13(2), 376-413. DOI: 10.1093/jjfinec/nbu002
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Golosnoy, Vasyl; Okhrin, Yarema (2015): Using information quality for volatility model combinations. ?Quantitative Finance 15(6), 1055-1073. DOI: 10.1080/14697688.2012.739728

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Bodnar, Olha; Bodnar, Taras; Okhrin, Yarema (2014): Robust Surveillance of Covariance Matrices Using a Single Observation. Sankhya A 76(2),?219-256. DOI: 10.1007/s13171-013-0044-x
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Golosnoy, Vasyl; Hamid, Alain; Okhrin, Yarema (2014): The empirical similarity approach for volatility prediction. Journal of Banking & Finance 40, 321-329. DOI: 10.1016/j.jbankfin.2013.12.009

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Bodnar, Taras; Okhrin, Yarema (2013): Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio?. Applied Mathematics and Computation 219(10), 5440-5448. DOI: 10.1016/j.amc.2012.11.049
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H?rdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema (2013): Dynamic structured copula models. ?Statistics & Risk Modeling 30(4), 361-388. DOI: 10.1524/strm.2013.2004
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Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema (2013): On the exact and approximate distributions of the product of a Wishart matrix with a normal vector.? Journal of Multivariate Analysis 122,?70-81. DOI: 10.1016/j.jmva.2013.07.007
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Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang (2013): On the structure and estimation of hierarchical Archimedean copulas. Journal of Econometrics 173(2), 189-204. DOI: 10.1016/j.jeconom.2012.12.001
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Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang (2013): Properties of hierarchical Archimedean copulas. Statistics & Risk Modeling 30(1), 21-54. DOI: 10.1524/strm.2013.1071

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Morais, Manuel Cabral; Okhrin, Yarema; Schmid, Wolfgang (2012): Limit Properties of EWMA Charts for Stationary Processes.? Frontiers in Statistical Quality Control 10,?69-83. DOI: 10.1007/978-3-7908-2846-7_5

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Golosnoy, Vasyl; Okhrin, Yarema (2011): Nonparametric monitoring of equal predictive ability. Journal of Statistical Planning and Inference 141(9), ?3170-3180. DOI: 10.1016/j.jspi.2011.04.004
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Bodnar, Taras; Okhrin, Yarema (2011): On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory. Scandinavian Journal of Statistics 38(2), 311-331. DOI: 10.1111/j.1467-9469.2011.00729.x

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Bolle, Friedel; Okhrin, Yarema; Vogel, Claudia (2009): A note on interdependent happiness. The Journal of Socio-Economics 38(5), ?713-721. DOI: 10.1016/j.socec.2009.03.007
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Golosnoy, Vasyl; Okhrin, Yarema (2009): Flexible shrinkage in portfolio selection. ?Journal of Economic Dynamics and Control 33(2), ?317-328. DOI: 10.1016/j.jedc.2008.06.003
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H?rdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema (2009): Modeling Dependencies with Copulae. In: Wolfgang Karl H?rdle, Nikolaus Hautsch, Ludger Overbeck (Hg.): Applied Quantitative Finance. Berlin [u.a.]: Springer, S. 3-36.DOI: 10.1007/978-3-540-69179-2_1
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Bodnar, Olha; Bodnar, Taras; Okhrin, Yarema (2009): Surveillance of the covariance matrix based on the properties of the singular Wishart distribution. Computational Statistics & Data Analysis 53(9), 3372-3385. DOI: 10.1016/j.csda.2009.02.020
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Morais, Manuel Cabral; Okhrin, Yarema; Pacheco, António; Schmid, Wolfgang (2008): EWMA Charts for Multivariate Output: Some Stochastic Ordering Results. Communications in Statistics - Theory and Methods 37(16),?2653-2663. DOI: 10.1080/03610920801956439
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Okhrin, Yarema; Schmid, Wolfgang (2008): Estimation of optimal portfolio weights. ?International Journal of Theoretical and Applied Finance 11(3), ?249-276. DOI: 10.1142/s0219024908004798
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Golosnoy, Vasyl; Okhrin, Yarema (2008): General uncertainty in portfolio selection: a case-based decision approach. Journal of Economic Behavior & Organization 67(3-4), ?718-734. DOI: 10.1016/j.jebo.2007.08.004
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Bodnar, Taras; Okhrin, Yarema (2008): Properties of the singular, inverse and generalized inverse partitioned Wishart distributions. Journal of Multivariate Analysis 99(10), ?2389-2405. DOI: 10.1016/j.jmva.2008.02.024
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Okhrin, Yarema; Schmid, Wolfgang (2008): Surveillance of Univariate and Multivariate Linear Time Series. In: Marianne Frisén (Hg.): Financial surveillance. Chichester [u.a.]: Wiley, ?115-152.DOI: 10.1002/9780470987179.ch5
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Okhrin, Yarema; Schmid, Wolfgang (2008): Surveillance of Univariate and Multivariate Nonlinear Time Series. In: Marianne Frisén (Hg.): Financial surveillance. Chichester [u.a.]: Wiley, 153-177.DOI: 10.1002/9780470987179.ch6

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Okhrin, Yarema; Schmid, Wolfgang (2007): Comparison of different estimation techniques for portfolio selection. ?AStA Advances in Statistical Analysis 91(2), ?109-127. DOI: 10.1007/s10182-007-0026-1
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Schmid, Wolfgang; Okhrin, Yarema (2007): Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich. Sequential Analysis 26(1),?53-55. DOI: 10.1080/07474940601112336
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Golosnoy, Vasyl; Okhrin, Yarema (2007): Multivariate Shrinkage for Optimal Portfolio Weights. ?The European Journal of Finance 13(5), ?441-458. DOI: 10.1080/13518470601137592

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Okhrin, Yarema; Schmid, Wolfgang (2006): Distributional properties of portfolio weights. ?Journal of Econometrics 134(1), ?235-256. DOI: 10.1016/j.jeconom.2005.06.022
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Morais, Manuel Cabral; Okhrin, Yarema; Pacheco, António; Schmidt, Wolfgang (2006): On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ. Statistics & Decisions 24(4), 397-413. DOI: 10.1524/stnd.2006.24.4.397

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Schmid, Wolfgang; Okhrin, Yarema (2003): Tail behaviour of a general family of control charts.?Statistics & Decisions 21(1), ?79-92. DOI: 10.1524/stnd.21.1.79.20320

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