Wintersemester 

• Machine Learning
• Ökonometrie
• Statistik II

 

Sommersemester

• Data Mining
• Statistik I

 

 

 

• Quantitative methods in Economics and Finance

• Machine Learning  

• Statistical process control

• Applied and financial Econometrics

• Dependence modelling

• 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)

• 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

• Chairman of the German Statistical Society (since 09.2024)
• 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

Okhrin, Yarema; Petruk, Viktoria, Schmid, Wolfgang (2025) Monitoring  Time Dependent Image Processes for Detecting Shifts in Pixel Intensities, appears in Computational Statistics

 

Bodnar, Taras, Hautsch, Nikolaus, Okhrin, Yarema,  and Nestor Parolya (2025) Consistent Estimation of the High-Dimensional Efficient Frontier, appears in The European Journal of Finance

 

Bodnar, Taras, Dmytriv, Solomia, Okhrin, Yarema, Otryakhin, Dimitriy and Nestor Parolya (2025) High-Dimensional Portfolio Selection with HDShOP Package, appears in The European Journal of Finance

 

Gollart, Maximilian; Okhrin, Yarema (2025): A reinforcement learning approach to dynamic portfolio optimization, appears in Annals of Operations Research

 

Lach, Linus; Fottner, Alexander; Okhrin, Yarema (2025): Bridging the Gap Between f-divergences and Bayes Hilbert Spaces, appears in The Thirteenth International Conference on Learning Representations (ICLR 2025)

 

Golosnoy, Vasyl; Okhrin, Yarema, Roos Michael (2025): Empirical similarity for revealing the US interest rate policy: modeling case-based decisions of the FOMC, appears in Empirical Economics

 

Okhrin, Yarema; Schmid, Wolfgang; Semenyuk, Ivan (2025): A control chart for monitoring image processes based on convolutional neural networks, Statistica Neerlandica 79, e12366

 

Morais, Manuel Cabral; Okhrin, Yarema; Schmid, Wolfgang (2025): Monitoring the Value at Risk with applications to finance, Frontiers in Statistical Process Control 14

 

Okhrin, Yarema; Petruk, Viktoria, Schmid, Wolfgang (2025): Monitoring color image processes, Frontiers in Statistical Process Control 14

 

Chen, Cathy Yi-Hsuan; Okhrin, Yarema;  Wang, Tengyao (2024): Monitoring network changes in social media, Journal of Business and Economic Statistics 42, 391-406

 

Igeland, Philip; Schroeder, Leon; Yahya Muhammad, Okhrin, Yarema; Uddin, Gazi Salah, (2024) The energy transition: The behavior of renewable energy stock during the times of energy security uncertainty, Renewable Energy 221, 119746  

 

Bahromov, Jamol; Golosnoy, Vasyl; Okhrin, Yarema (2024): The Empirical Similarity Approach for Combining Predictions of Portfolio Weights, Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science, 223-237

 

Okhrin, Yarema; Uddin, Gazi Salah; Yahya, Muhammad (2023) Nonlinear and Asymmetric Interconnectedness of Crude oil with Financial and Commodity Markets, Energy Economics 125, 106853

 

Uddin, Gazi Salah; Luo, Tianqi; Yahya, Muhammad; Jayasekera, Ranadeva; Rahman, Juftur; Okhrin, Yarema (2023) Risk Network of Global Energy Markets,  Energy Economics 125, 106882

 

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

 

Jakob, Kevin, et al. (2023) Fast Approximation Methods for Credit Portfolio Risk Calculations, Digital Finance 5, 689-716

 

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

 

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.

 

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

 

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

 

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.

 

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