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Selected Publications

  • Garthoff, R., Okhrin, I., and Schmid, W., Control Charts for Multivariate Nonlinear Time Series, to appear in REVSTAT - Statistical Journal

  • Garthoff, R., Okhrin, I., and Schmid, W., Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series, AStA Advances in Statistical Analysis, 98, pp. 225-255, 2014

  • Golosnoy, V., Okhrin, I., and Schmid, W., Statistical Surveillance for Volatility Forecasting Models, Journal of Financial Econometrics, 10, pp. 513-543, 2012

  • Golosnoy, V., Okhrin, I., and Schmid, W., New Characteristics for Portfolio Surveillance, Statistics: A Journal of Theoretical and Applied Statistics, 44, pp. 303–321, 2010


  • Golosnoy, V., Okhrin, I., Ragulin, S., and Schmid, W., On the Application of SPC in Finance, Frontiers in Statistical Quality Control 9, pp. 119-130, 2010


  • Golosnoy, V., Schmid, W., and Okhrin, I., Sequential Monitoring of Optimal Portfolio Weights, in M. Frisén (editor) Financial Surveillance, Wiley, 2007


  • Okhrin, O., Yatsyshynets (Okhrin), I. and Yeleyko, Ya., Portfolio selection based on the internal yield requirement, 7-th international workshop for young mathematicians: Applied Mathematics (Conference proceedings), - Cracow, Polen, pp. 131-149, 2005


  • Yatsyshynets (Okhrin), I. and Yeleyko, Ya., Criterion of Shortest Distence Between Informative Cubes in Multicriterion Multiaimed Models, Applied Statistic. Acturial and Financial Materials. #1-2, 2004


  • Okhrin, O. and Yatsyshynets (Okhrin), I., Estimation Model of Effectiveness of Interbank Operations, Postcommunist Economics During Globalisation (Conference materials). – Lviv, 2004



Papers in Progress

  • Monitoring Sharpe Ratios for Portfolio Composition (with V. Golosnoy).

  • Forecasting the Temperature Data (with Y. Okhrin and W. Schmid).

  • Some Properties of Mean and Covariance Matrix of Nonlinear Time Series (with R. Garthoff and W. Schmid).