Artem Prokhorov
Names
| first: |
Artem |
| last: |
Prokhorov |
Identifer
Contact
Affiliations
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St. Petersburg State University
/ Faculty of Economics (weight: 10%)
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University of Sydney
/ Business School
/ Discipline of Business Analytics (weight: 90%)
Research profile
author of:
- Reconstructing high dimensional dynamic distributions from distributions of lower dimension (RePEc:abo:neswpt:w0167)
by Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov - Efficient estimation of parameters in marginals in semiparametric multivariate models (RePEc:arx:papers:2401.17334)
by Ivan Medovikov & Valentyn Panchenko & Artem Prokhorov - On Improved Semi-parametric Bounds for Tail Probability and Expected Loss (RePEc:arx:papers:2404.02400)
by Zhaolin Li & Artem Prokhorov - Early warning systems for financial markets of emerging economies (RePEc:arx:papers:2404.03319)
by Artem Kraevskiy & Artem Prokhorov & Evgeniy Sokolovskiy - A Simple Estimator of Two‐Dimensional Copulas, with Applications (RePEc:bla:obuest:v:82:y:2020:i:6:p:1375-1412)
by Eddie Anderson & Artem Prokhorov & Yajing Zhu - Uniform convergence rates for nonparametric estimators smoothed by the beta kernel (RePEc:bla:scjsta:v:49:y:2022:i:3:p:1353-1382)
by Masayuki Hirukawa & Irina Murtazashvili & Artem Prokhorov - Reconstructing high dimensional dynamic distributions from distributions of lower dimension (RePEc:cfr:cefirw:w0167)
by Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov - Two-sample nonparametric estimation of intergenerational income mobility in the United States and Sweden (RePEc:cje:issued:v:48:y:2015:i:5:p:1733-1761)
by Irina Murtazashvili & Di Liu & Artem Prokhorov - GMM Redundancy Results for General Missing Data Problems (RePEc:crd:wpaper:08003)
by Artem Prokhorov & Peter Schmidt - On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models (RePEc:crd:wpaper:08004)
by Artem Prokhorov - Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas (RePEc:crd:wpaper:09002)
by Artem Prokhorov & Peter Schmidt - Second Order Bias of Quasi-MLE for Covariance Structure Models (RePEc:crd:wpaper:10001)
by Artem Prokhorov - A Goodness-of-fit Test for Copulas (RePEc:crd:wpaper:10002)
by Wanling Huang & Artem Prokhorov - Bartlett-type Correction of Distance Metric Test (RePEc:crd:wpaper:10003)
by Wanling Huang & Artem Prokhorov - Efficient estimation of parameters in marginals in semiparametric multivariate models (RePEc:crd:wpaper:11001)
by Valentyn Panchenko & Artem Prokhorov - Using Copulas to Model Time Dependence in Stochastic Frontier Models (RePEc:crd:wpaper:11002)
by Christine Amsler & Artem Prokhorov & Peter Schmidt - Reconstructing high dimensional dynamic distributions from distributions of lower dimension (RePEc:crd:wpaper:12003)
by Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov - Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models (RePEc:crd:wpaper:12012)
by Martin Burda & Artem Prokhorov - On relative efficiency of quasi-MLE and GMM estimators of covariance structure models (RePEc:eee:ecolet:v:102:y:2009:i:1:p:4-6)
by Prokhorov, Artem - Second order bias of quasi-MLE for covariance structure models (RePEc:eee:ecolet:v:114:y:2012:i:2:p:195-197)
by Prokhorov, Artem - An algorithm for constructing high dimensional distributions from distributions of lower dimension (RePEc:eee:ecolet:v:123:y:2014:i:3:p:257-261)
by Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem - Heavy tails and copulas: Limits of diversification revisited (RePEc:eee:ecolet:v:149:y:2016:i:c:p:102-107)
by Ibragimov, Rustam & Prokhorov, Artem - Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem (RePEc:eee:ecolet:v:149:y:2016:i:c:p:131-134)
by Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem - Moment redundancy test with application to efficiency-improving copulas (RePEc:eee:ecolet:v:171:y:2018:i:c:p:29-33)
by Hao, Bowen & Prokhorov, Artem & Qian, Hailong - GMM redundancy results for general missing data problems (RePEc:eee:econom:v:151:y:2009:i:1:p:47-55)
by Prokhorov, Artem & Schmidt, Peter - Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas (RePEc:eee:econom:v:153:y:2009:i:1:p:93-104)
by Prokhorov, Artem & Schmidt, Peter - GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (RePEc:eee:econom:v:190:y:2016:i:1:p:18-45)
by Hill, Jonathan B. & Prokhorov, Artem - Endogeneity in stochastic frontier models (RePEc:eee:econom:v:190:y:2016:i:2:p:280-288)
by Amsler, Christine & Prokhorov, Artem & Schmidt, Peter - Endogenous environmental variables in stochastic frontier models (RePEc:eee:econom:v:199:y:2017:i:2:p:131-140)
by Amsler, Christine & Prokhorov, Artem & Schmidt, Peter - Consistent estimation of linear regression models using matched data (RePEc:eee:econom:v:203:y:2018:i:2:p:344-358)
by Hirukawa, Masayuki & Prokhorov, Artem - Forecasting tail risk measures for financial time series: An extreme value approach with covariates (RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50)
by James, Robert & Leung, Henry & Leung, Jessica Wai Yin & Prokhorov, Artem - A new approach to credit ratings (RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621000558)
by Pertaia, Giorgi & Prokhorov, Artem & Uryasev, Stan - A machine learning attack on illegal trading (RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003156)
by James, Robert & Leung, Henry & Prokhorov, Artem - Copula based factorization in Bayesian multivariate infinite mixture models (RePEc:eee:jmvana:v:127:y:2014:i:c:p:200-213)
by Burda, Martin & Prokhorov, Artem - Improving Predictions of Technical Inefficiency (RePEc:eme:aecozz:s0731-905320240000046011)
by Christine Amsler & Robert James & Artem Prokhorov & Peter Schmidt - A new family of copulas, with application to estimation of a production frontier system (RePEc:kap:jproda:v:55:y:2021:i:1:d:10.1007_s11123-020-00590-w)
by Christine Amsler & Artem Prokhorov & Peter Schmidt - A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion (RePEc:oup:jfinec:v:15:y:2017:i:3:p:474-503.)
by Ivan Medovikov & Artem Prokhorov - A goodness-of-fit test for copulas (RePEc:pra:mprapa:9998)
by Prokhorov, Artem - Nonlinear dynamics and chaos theory in economics: a historical perspective (in Russian) (RePEc:qnt:quantl:y:2008:i:4:p:79-92)
by Artem Prokhorov - Estimation of semi- and nonparametric stochastic frontier models with endogenous regressors (RePEc:spr:empeco:v:60:y:2021:i:6:d:10.1007_s00181-020-01941-0)
by Artem Prokhorov & Kien C. Tran & Mike G. Tsionas - DS-HECK: double-lasso estimation of Heckman selection model (RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02406-w)
by Masayuki Hirukawa & Di Liu & Irina Murtazashvili & Artem Prokhorov - Consistent Estimation of Linear Regression Models Using Matched Data (RePEc:syb:wpbsba:2123/11773)
by Hirukawa, Masayuki & Prokhorov, Artem - Endogeneity in Stochastic Frontier Models (RePEc:syb:wpbsba:2123/12755)
by Amsler, Christine & Artem, Prokhorov & Peter, Schmidt - GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference (RePEc:syb:wpbsba:2123/13795)
by Hill, Jonathan B. & Prokhorov, Artem - Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference (RePEc:syb:wpbsba:2123/13797)
by Hill, Jonathan B. & Prokhorov, Artem - Generalized Information Matrix Tests for Copulas (RePEc:syb:wpbsba:2123/13798)
by Prokhorov, Artem & Schepsmeier, Ulf & Zhu, Yajing - Fat tails and copulas: limits of diversification revisited (RePEc:syb:wpbsba:2123/13799)
by Ibragimov, Rustam & Mo, Jingyuan & Prokhorov, Artem - A New Measure of Vector Dependence, with an Application to Financial C ontagion (RePEc:syb:wpbsba:2123/14490)
by Medovikov, Ivan & Prokhorov, Artem - Efficient estimation of parameters in marginal in semiparametric multivariate models (RePEc:syb:wpbsba:2123/14641)
by Panchenko, Valentyn & Prokhorov, Artem - Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem (RePEc:syb:wpbsba:2123/14745)
by Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem - Endogenous Environmental Variables In Stochastic Frontier Models (RePEc:syb:wpbsba:2123/16763)
by Amsler, Christine & Prokhorov, Artem & Schmidt, Peter - Consistent Estimation of Linear Regression Models Using Matched Data (RePEc:syb:wpbsba:2123/18063)
by Hirukawa, Masayuki & Prokhorov, Artem - A New Family of Copulas, with Application to Estimation of a Production Frontier System (RePEc:syb:wpbsba:2123/20203)
by Amsler, Christine & Prokhorov, Artem & Schmidt, Peter - Moment Redundancy Test with Application to Efficiency-Improving Copulas (RePEc:syb:wpbsba:2123/20204)
by Hao, Bowen & Prokhorov, Artem & Qian, Hailong - Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty (RePEc:syb:wpbsba:2123/9293)
by Liu, Di & Murtazashvili, Irina & Prokhorov, Artem - Using Copulas to Model Time Dependence in Stochastic Frontier Models (RePEc:taf:emetrv:v:33:y:2014:i:5-6:p:497-522)
by Christine Amsler & Artem Prokhorov & Peter Schmidt - A Goodness-of-fit Test for Copulas (RePEc:taf:emetrv:v:33:y:2014:i:7:p:751-771)
by Wanling Huang & Artem Prokhorov - Generalized information matrix tests for copulas (RePEc:taf:emetrv:v:38:y:2019:i:9:p:1024-1054)
by Artem Prokhorov & Ulf Schepsmeier & Yajing Zhu - Yet another look at the omitted variable bias (RePEc:taf:emetrv:v:42:y:2023:i:1:p:1-27)
by Masayuki Hirukawa & Irina Murtazashvili & Artem Prokhorov - Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models (RePEc:tor:tecipa:tecipa-473)
by Martin Burda & Artem Prokhorov - msreg: A command for consistent estimation of linear regression models using matched data (RePEc:tsj:stataj:v:21:y:2021:i:1:p:123-140)
by Masayuki Hirukawa & Di Lu & Artem Prokhorov - Technical and allocative inefficiency in production systems: a vine copula approach (RePEc:vrs:demode:v:10:y:2022:i:1:p:145-158:n:5)
by Zhai Jian & James Robert & Prokhorov Artem - Two‐sample nonparametric estimation of intergenerational income mobility in the United States and Sweden (RePEc:wly:canjec:v:48:y:2015:i:5:p:1733-1761)
by Irina Murtazashvili & Di Liu & Artem Prokhorov - Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance (RePEc:wsi:wsbook:9644)
by Rustam Ibragimov & Artem Prokhorov - Introduction and Overview (RePEc:wsi:wschap:9789814689809_0001)
by Rustam Ibragimov & Artem Prokhorov - Portfolio Diversification under Independent Fat Tailed Risks (RePEc:wsi:wschap:9789814689809_0002)
by Rustam Ibragimov & Artem Prokhorov - From Independence to Dependence via Copulas and U-statistics (RePEc:wsi:wschap:9789814689809_0003)
by Rustam Ibragimov & Artem Prokhorov - Limits of Diversification under Fat Tails and Dependence (RePEc:wsi:wschap:9789814689809_0004)
by Rustam Ibragimov & Artem Prokhorov - Robustness of Econometric Methods to Copula Misspecification and Heavy Tails (RePEc:wsi:wschap:9789814689809_0005)
by Rustam Ibragimov & Artem Prokhorov - Copula Tests Using Information Matrix (RePEc:wsi:wschap:9789814689809_0006)
by Rustam Ibragimov & Artem Prokhorov - Summary and Conclusion (RePEc:wsi:wschap:9789814689809_0007)
by Rustam Ibragimov & Artem Prokhorov