Browsing by author "Prokhorov, Artem"
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Consistent Estimation of Linear Regression Models Using Matched Data
Prokhorov, Artem; Hirukawa, MasayukiPublished 2014-09-05Economists often use matched samples, especially when dealing with earnings data where a number of missing observations need to be imputed. In this paper, we demonstrate that the ordinary least squares estimator of the ...Open AccessWorking Paper -
Consistent Estimation of Linear Regression Models Using Matched Data
Hirukawa, Masayuki; Prokhorov, ArtemPublished 2017-03-16Economists often use matched samples, especially when dealing with earnings data where a number of missing observations need to be imputed. In this paper, we demonstrate that the ordinary least squares estimator of the ...Open AccessArticle -
Efficient estimation of parameters in marginal in semiparametric multivariate models
Panchenko, Valentyn; Prokhorov, ArtemPublished 2016-03-01We consider a general multivariate model where univariate marginal distributions are known up to a common parameter vector and we are interested in estimating that vector without assuming anything about the joint distribution, ...Open AccessWorking Paper -
Endogenous Environmental Variables In Stochastic Frontier Models
Amsler, Christine; Prokhorov, Artem; Schmidt, PeterPublished 2017-04-09This paper considers a stochastic frontier model that contains environmental variables that affect the level of inefficiency but not the frontier. The model contains statistical noise, potentially endogenous regressors, ...Open AccessArticle -
Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem
Matsypura, Dmytro; Neo, Emily; Prokhorov, ArtemPublished 2016-04-16We formulate the problem of finding and estimating the optimal hierarchical Archimedean copula as an amended shortest path problem. The standard network flow problem is amended by certain constraints specific to copulas, ...Open AccessWorking Paper -
Fat tails and copulas: limits of diversification revisited
Ibragimov, Rustam; Prokhorov, Artem; Mo, JingyuanPublished 2015-09-11We consider the problem of portfolio risk diversification in a Value-at-Risk framework with heavy-tailed risks and arbitrary dependence captured by a copula function. We use the power law for modelling the tails and ...Open AccessWorking Paper -
Forecasting tail risk measures for financial time series: an extreme value approach with covariates
James, Robert; Leung, Jessica; Leung, Henry; Prokhorov, ArtemPublished 2023The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT ...Article, Letter -
GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
Hill, Jonathan B.; Prokhorov, ArtemPublished 2015-09-11We construct a Generalized Empirical Likelihood estimator for a GARCH(1,1) model with a possibly heavy tailed error. The estimator imbeds tail-trimmed estimating equations allowing for over-identifying conditions, asymptotic ...Open AccessWorking Paper -
Generalized Information Matrix Tests for Copulas
Prokhorov, Artem; Schepsmeier, Ulf; Zhu, YajingPublished 2015-09-11We propose a family of goodness-of-fit tests for copulas. The tests use generalizations of the information matrix (IM) equality of White (1982) and so relate to the copula test proposed by Huang and Prokhorov (2014). The ...Open AccessWorking Paper -
Moment Redundancy Test with Application to Efficiency-Improving Copulas
Hao, Bowen; Prokhorov, Artem; Qian, HailongPublished 2019-03-25Moment redundancy as defined by Breusch et al. (1999) is a testable hypothesis. We propose a simple test of the hypothesis in the context of copula-based pseudo-maximum likelihood estimation considered by Prokhorov and ...Open AccessWorking Paper -
A New Family of Copulas, with Application to Estimation of a Production Frontier System
Amsler, Christine; Prokhorov, Artem; Schmidt, PeterPublished 2019-03-25In this paper we propose a new family of copulas for which the copula arguments are uncorrelated but dependent. Specifically, if w1 and w2 are the uniform random variables in the copula, they are uncorrelated, but w1 is ...Open AccessWorking Paper -
A New Measure of Vector Dependence, with an Application to Financial Contagion
Medovikov, Ivan; Prokhorov, ArtemPublished 2016-03-11We propose a new nonparametric measure of association between an arbitrary number of random vectors. The measure is based on the empirical copula process for the multivariate marginals, corresponding to the vectors, and ...Open AccessWorking Paper -
Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
Hill, Jonathan B.; Prokhorov, ArtemPublished 2015-09-11The following supplemental material contains an omitted simulation experiment, and omitted proofs of theorems and preliminary lemmata. Section S contains simulation results, and Section A contains an appendix with omitted proofs.Open AccessWorking Paper -
Two-Sample Nonparametric Estimation of Intergenerational Income Mobility
Murtazashvili, Irina; Liu, Di; Prokhorov, ArtemPublished 2013-08-07We estimate intergenerational income mobility in the USA and Sweden. To measure the degree to which income status is transmitted from one generation to another we propose a nonparametric estimator, which is particularly ...Open AccessWorking Paper
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