Find us on Facebook Find us on LinkedIn Follow us on Twitter Subscribe to our YouTube channel Instagram

Artem Prokhorov

PhD Michigan State University
Associate Professor

Rm 4088
H70 - Abercrombie Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9351 6584
Fax +61 2 9351 6409
artem.prokhorov@sydney.edu.au
Web Artem Prokhorov's site

Bio

Artem Prokhorov received his PhD in Economics from Michigan State University in 2006. He joined the University of Sydney in 2013, having previously worked as an Assistant Professor (2006-2011) and Associate Professor with tenure (2011-2013) at Concordia University in Montreal, Canada.

Artem's research interests include theoretical and applied econometrics, with applications in business analytics, finance, risk management, labour and health economics, demography and other fields. Artem has published in top econometrics journals such as Journal of Econometrics and his research has won competitive research grants from the Social Sciences and Humanities Research Council of Canada (SSHRC), the Research Fund of Quebec (FQRSC), and other government agencies internationally.

Artem is regularly invited to serve as an assessor, reviewer and expert witness by government agencies including Australian Research Council and Australian Securities and Investments Commission. He is a regular presenter at international conferences and invited seminars in econometrics. He has held a number of visiting professorial appointments at universities including Harvard and UNSW and serves on scientific committees of several international conferences. He is currently an Associate Editor of Econometrics and Statistics and Rutgers Business Review and an Editor of St.Petersburg University Journal of Economic Studies.

Artem teaches courses in econometrics, statistical analysis and data mining for both undergraduates and postgraduates and serves as a supervisor to many MA and PhD students. Artem has previously taught in Canada, USA and Russia and has worked at a German investment bank.

Selected publications

2019

Journal Article

Prokhorov A, Schepsmeier U, and Zhu Y (2019) Generalized Information Matrix Tests for Copulas Econometric Reviews, In Press.

2018

Journal Articles

Hao B, Prokhorov A, and Qian H (2018) Moment redundancy test with application to efficiency-improving copulas Economics Letters, 171, 29-33. [More Information]

Hirukawa M, and Prokhorov A (2018) Consistent Estimation of Linear Regression Models Using Matched Data Journal of Econometrics, 203 (2), 344-358. [More Information]

Book Chapter

Anatolyev S, Khabibullin R, and Prokhorov A (2018) Estimating Asymmetric Dynamic Distributions in High Dimensions Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, West Sussex, 169-197. [More Information]

2017

Journal Articles

Amsler C, Prokhorov A, and Schmidt P (2017) Endogenous environmental variables in stochastic frontier models Journal of Econometrics, 199 (2), 131-140. [More Information]

Medovikov I, and Prokhorov A (2017) A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion Journal of Financial Econometrics, 15 (3), 474-503. [More Information]

Book

Ibragimov R, and Prokhorov A (2017) Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance; World Scientific Publishing Co. Pte. Ltd., Singapore.

2016

Journal Articles

Amsler C, Prokhorov A, and Schmidt P (2016) Endogeneity in stochastic frontier models Journal of Econometrics, 190 (2), 280-288. [More Information]

Hill J, and Prokhorov A (2016) GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference Journal of Econometrics, 190 (1), 18-45. [More Information]

Ibragimov R, and Prokhorov A (2016) Heavy tails and copulas: Limits of diversification revisited Economics Letters, 149, 102-107. [More Information]

Matsypura D, Neo E, and Prokhorov A (2016) Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem Economics Letters, 149, 131-134. [More Information]

2015

Journal Article

Murtazashvili I, Liu D, and Prokhorov A (2015) Two-Sample Nonparametric Estimation of intergenerational Income Mobility in the United States and Sweden Canadian Journal of Economics/Revue canadienne d'Economique, 48 (5), 1733-1761. [More Information]

Conference Proceeding

Darkhovsky B, Piryatinska A, Prokhorov A, and Xia F (2015) The e-complexity for copulas 2015 10th IEEE Conference on Industrial Electronics and Applications (ICIEA 2015); Institute of Electrical and Electronics Engineers (IEEE), Auckland.

2014

Journal Articles

Amsler C, Prokhorov A, and Schmidt P (2014) Using Copulas to Model Time Dependence in Stochastic Frontier Models Econometric Reviews, 33 (5-6), 497-522. [More Information]

Anatolyev S, Khabibullin R, and Prokhorov A (2014) An algorithm for constructing high dimensional distributions from distributions of lower dimension Economics Letters, 123 (3), 257-261. [More Information]

Burda M, and Prokhorov A (2014) Copula based factorization in Bayesian multivariate infinite mixture models Journal of Multivariate Analysis, 127, 200-213. [More Information]

Huang W, and Prokhorov A (2014) A Goodness-of-fit Test for Copulas Econometric Reviews, 33 (7), 751-771. [More Information]

Book Chapter

Huang W, and Prokhorov A (2014) Bartlett-Type Correction of Distance Metric Test Festschrift in Honor of Peter Schmidt: Economic Methods and Applications; Springer, New York, 371-403. [More Information]

2012

Journal Article

Prokhorov A (2012) Second Order Bias of Quasi-MLE for Covariance Structure Models Economics Letters, 114 (2), 195-197. [More Information]

Conference Proceedings

Hill J, and Prokhorov A (2012) Robust GEL estimation and inference for GARCH models Asian Meeting of the Econometric Society, Delhi, India.

Huang W, and Prokhorov A (2012) Bartlett-type correction of DM test The Society for Computational Economics 18th International Conference Computing in Economics and Finance, Prague, Czech Republic.

Huang W, and Prokhorov A (2012) Bartlett-type correction of DM test New York Camp Econometrics VII, Cooperstown, United States.

2011

Journal Article

Conner T, Prokhorov A, Page C, Fang Y, Xiao Y, and Post L (2011) Impairment and Abuse of Elderly by Staff in Long-Term Care in Michigan: Evidence from Structural Equation Modelling Journal of Interpersonal Violence, 26 (1), 21-33. [More Information]

Conference Proceedings

Amsler C, Prokhorov A, and Schmidt P (2011) Using copulas to model time dependence in stochastic frontier models XII European Workshop on Efficiency and Productivity Analysis, Verona, Italy.

Hill J, and Prokhorov A (2011) Generalized Empirical Likelihood Estimation with Imbedded Tail-Trimming NBER-NSF Time Series Conference, East Lansing, United States.

Hill J, and Prokhorov A (2011) GEL with tail trimming 7th International Symposium on Econometric Theory and Applications SETA2011, Melbourne, Australia.

Hill J, and Prokhorov A (2011) GEL Estimation of Strong Garch 2nd Humboldt-Copenhagen Conference in Financial Econometrics, Copenhagen, Denmark.

Panchenko V, and Prokhorov A (2011) Semiparametric Estimation of Parameters in Marginals North American Winter Meetings of the Econometric Society, Denver, United States.

Panchenko V, and Prokhorov A (2011) Efficient Semiparametric Estimation of Parameters in Marginals Conference in Honor of Professor Peter Schmidt, Houston, United States.

2010

Journal Article

Post L, Page C, Conner T, Prokhorov A, Fang Y, and Biroscak B (2010) Elder Abuse in Long-Term Care: Types, Patterns and Risk Factors Research on Aging, 32 (3), 323-348. [More Information]

Conference Proceedings

Panchenko V, and Prokhorov A (2010) Sieve MLE 16th International Conference on Panel Data; University of Amsterdam, Amsterdam, Netherlands.

Prokhorov A (2010) Sieve MLE 10th International Scientific School Modelling and Analysis of Safety and Risk in Complex Systems; Russian Academy of Sciences, Moscow, Russia.

Prokhorov A (2010) A goodness of fit test for copulas Quantitative Methods in Finance Conference; University of Technology, Sydney, Sydney.

Prokhorov A (2010) Efficient estimation of parameters in marginals in semiparametric multivariate models 27th Annual Meeting of the Canadian Econometrics Study Group Meeting; The University of British Columbia, Vancouver, Canada.

2009

Journal Articles

Page C, Conner T, Prokhorov A, Fang Y, and Post L (2009) The Effect of Care Setting on Elder Abuse: Results from a Michigan Survey Journal of Elder Abuse and Neglect, 21 (3), 239-252. [More Information]

Prokhorov A (2009) On Relative Efficiency of Quasi-MLE and GMM Estimators of Covariance Structure Models Economics Letters, 102 (1), 4-6. [More Information]

Prokhorov A, and Schmidt P (2009) GMM Redundancy Results for General Missing Data Problems Journal of Econometrics, 151 (1), 47-55. [More Information]

Prokhorov A, and Schmidt P (2009) Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas Journal of Econometrics, 153 (1), 93-104. [More Information]

Conference Proceedings

Prokhorov A (2009) Sieve MLE Quantitative Methods in Finance Conference 2009; University of Technology, Sydney, Sydney, Australia.

Prokhorov A (2009) Semiparametric estimation of parameters in marginals Far East and South Asia Meeting of the Econometric Society; University of Tokyo, Tokyo, Japan.

Prokhorov A (2009) Goodness of fit testing for copula functions 9th International Scientific School Modelling and Analysis of Safety and Risk in Complex Systems; Russian Academy of Sciences, Moscow, Russia.

Prokhorov A (2009) Goodness of fit test for copulas International Conference on Econometrics and World Economy; Fukuoka University, Fukouka, Japan.

2008

Journal Articles

Ozlu P, and Prokhorov A (2008) Modelling Central Bank Intervention as a Threshold Regression: Evidence from Turkey Journal of Economic and Social Research, 10 (2), 1-23.

Prokhorov A (2008) Nonlinear dynamics and chaos theory in economics: a historical perspective Quantile, 4, 79-92.

Conference Proceedings

Abdi N, Naseem A, and Prokhorov A (2008) The Role of Agricultural Research Institutions in Promoting Efficient Agricultural Production in sub-Saharan Africa: A Stochastic Production Frontier Approach American Agricultural Economics Association Meeting; Oxford University Press, Oxford, United Kingdom.

Amsler C, Prokhorov A, and Schmidt P (2008) Modelling time dependence in stochastic frontier models 25th Annual Meeting of the Canadian Econometrics Study Group; The University of British Columbia, Vancouver, Canada.

Conner T, Prokhorov A, Page C, Post L, Fang Y, and Xiao Y (2008) Impairment and abuse of older adults in long-term care in Michigan: Evidence from structural equation modelling American Public Health Association Meeting; American Public Health Association, Washington, D.C., United States.

Prokhorov A (2008) Goodness of fit tests for copula functions Contemporary Global Economy: Trends and Prospects.

Prokhorov A (2008) Robustness and redundancy of copulas in multivariate time series models 2nd International Workshop on Computational and Financial Econometrics; University of Neuchatel, Neuchatel, Switzerland.

Prokhorov A (2008) On higher order properties of some estimator of covariance structure models The Australasian Meeting of the Econometric Society (2008).

Book Chapter

Post L, Salmon C, Prokhorov A, Oehmke J, and Swierenga S (2008) Aging and Elder Abuse: Projections from Michigan Applied Demography in the 21st Century: Selected Papers from the Biennial Conference on Applied Demography, San Antonio, Texas, January 7-9, 2007; Springer, Netherlands, 103-112.

2007

Conference Proceeding

Prokhorov A, and Schmidt P (2007) Robustness and Redundancy of Copulas 14th International Panel Data Conference; Xiamen University, Xiamen, China.

2006

Journal Article

Post L, Swierenga S, Oehmke J, Salmon C, Prokhorov A, Meyer E, and Joshi V (2006) The Implications of an Aging Population Structure International Journal of Interdisciplinary Social Sciences, 1.

Conference Proceedings

Ozlu P, and Prokhorov A (2006) Modelling Central Bank Intervention as a Threshold Regression: Evidence from Turkey Turkish Economic Association Meeting.

Prokhorov A (2006) GMM redundancy results for general missing data problem 23rd Annual Meeting of the Canadian Econometrics Study Group Meeting; The University of British Columbia, Vancouver, Canada.

Prokhorov A, and Schmidt P (2006) Validity and redundancy of copulas in likelihood based models Quantitative Methods in Finance Conference; UTS, Australia.

Prokhorov A, and Schmidt P (2006) Robustness, Redundancy and Validity of Copulas North American Winter Meetings of the Econometric Society 2006; Wiley-Blackwell Publishing, Hoboken, New Jersey.

Recent Units Taught

  • BUSS4303 Business Analytics Honours B

  • BUSS6002 Data Science in Business

  • QBUS5001 Quantitative Methods for Business