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Introduction to Copulas

Date: Wednesday, June 22nd, 14:00—15:00

Location:B212, Tong Bo Building, Liu Lin Campus

The public lecture

Given by

Professor: Ostap Okhrin

Dresden University of Technology


This talk is based on three works, that are dealing with the changing dependence over time: adaptive estimation, hidden Markov models and realized copula models. In the first case we estimate the copula parameter (and structure) together with the interval on which the model is homogeneous. In the second case we assume several states of the copula as the underlying distribution and estimate them as well as the transition probabilities. In the last model we estimate the copula based on the high-frequency data. This is one of the first approaches that allows for copula in high-frequency financial econometrics.

About the lecturer:

Ostap Okhrin is Professor of Econometrics and Statistics esp.Transportation at the Dresden University of Technology. He worked at the European University Viadrina and later was an Assistant and then Associate Professor for Statistics of Financial Markets at the Humboldt University of Berlin and one of the principal investigators of the CRC-649 (Collaborative Research Center) Economic Risk". He teaches multivariate and mathematical statistics. His research focuses on multivariate models in particular copulas and financial econometrics.

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