69 citations · 96 across the 5 of their papers we have counts for
5 papers
Estimation of Spatial and Temporal Autoregressive Effects using LASSO - An Example of Hourly Particulate Matter Concentrations
Elkanah Nyabuto, Philipp Otto, Yarema Okhrin
We present an estimation procedure of spatial and temporal effects in spatiotemporal autoregressive panel data models using the Least Absolute Shrinkage and Selection Operator, LAS…
Consistent Estimation of the High-Dimensional Efficient Frontier
Taras Bodnar, Nikolaus Hautsch, Yarema Okhrin +1
In this paper, we analyze the asymptotic behavior of the main characteristics of the mean-variance efficient frontier employing random matrix theory. Our particular interest covers…
Statistical inference for the EU portfolio in high dimensions
Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin +2
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency…
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Nicole Barthel, Claudia Czado, Yarema Okhrin
A novel approach for dynamic modeling and forecasting of realized covariance matrices is proposed. Realized variances and realized correlation matrices are jointly estimated. The o…
Optimal shrinkage-based portfolio selection in high dimensions
Taras Bodnar, Yarema Okhrin, Nestor Parolya
In this paper we estimate the mean-variance portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage esti…