Prof. Dr. Yarema Okhrin

Ordinarius
Wirtschaftswissenschaftliche Fakultät
Telefon: +49 821 598 - 4152
Fax: +49 821 598 - 4227
E-Mail:
Raum: 2317 (J)
Adresse: Universitätsstraße 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 Aktivitäten 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 "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.

 

Bodnar, Taras; Okhrin, Yarema; Parolya, Nestor (2020): Optimal shrinkage-based portfolio selection in high dimensions, submitted.

 

Heine, Eugen; Okhrin, Yarema (2021): Matrix variate factor model with application to forecasting realized covariance matrices, submitted. 

 

Luo, Tianqi; Okhrin, Yarema (2021): RVNET-GARCH: a realized volatility model with network factor

 

Chen, Cathy Yi-Hsuan; Okhrin, Yarema;  Wang, Tengyao (2020): Monitoring network changes in social media, submitted

 

Okhrin, Yarema; Uddin; Gazi Salah; Yahya, Muhammad (2021): Nonlinear interconnectedness of crude oil and financial markets

 

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

 

 

Publications | Publikationen

Krylova, Maryna; Okhrin, Yarema (2021): Managing air quality: predicting exceedances of legal limits for PM10 and O3 concentration using machine learning methods. Appears in: Environmetrics

 

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

 

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

 

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

 

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

 

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
 

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
 

Okhrin, Yarema; Schmid, Wolfgang (2019): Stochastic Inequalities for the Run Length of the EWMA Chart for Long-Memory Processes. RevStat 17(1), 67-90.
 

Chen, Cathy Yi-Hsuan; Härdle, 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

 

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
 

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
 

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

 

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema (2017): Basic Elements of Computational Statistics. Springer.DOI: 10.1007/978-3-319-55336-8
 

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
 

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

 

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
 

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
 

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
 

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
 

Golosnoy, Vasyl; Okhrin, Yarema (2015): Using information quality for volatility model combinations.  Quantitative Finance 15(6), 1055-1073. DOI: 10.1080/14697688.2012.739728

 

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
 

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

 

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
 

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema (2013): Dynamic structured copula models.  Statistics & Risk Modeling 30(4), 361-388. DOI: 10.1524/strm.2013.2004
 

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
 

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
 

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

 

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

 

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
 

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

 

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
 

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
 

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema (2009): Modeling Dependencies with Copulae. In: Wolfgang Karl Härdle, Nikolaus Hautsch, Ludger Overbeck (Hg.): Applied Quantitative Finance. Berlin [u.a.]: Springer, S. 3-36.DOI: 10.1007/978-3-540-69179-2_1
 

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
 

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
 

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
 

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
 

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
 

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
 

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

 

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
 

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
 

Golosnoy, Vasyl; Okhrin, Yarema (2007): Multivariate Shrinkage for Optimal Portfolio Weights.  The European Journal of Finance 13(5),  441-458. DOI: 10.1080/13518470601137592

 

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
 

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

 

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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