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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

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 Univesity 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 Rutgers Business Review and a Guest Associate Editor of Econometrics and Statistics.

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.

Publications

2017

1
Book/s

Ibragimov R and Prokhorov A 2017 Forthcoming 'Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance', World Scientific Publishing Link

2016

4
Journal Article/s

Hill JB and Prokhorov A 2016 'GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference', Journal of Econometrics, vol.190:1, pp. 18-45 Link

Amsler C, Prokhorov A and Schmidt P 2016 'Endogeneity in stochastic frontier models', Journal of Econometrics, vol.190:2, pp. 280-8 Link

Ibragimov R and Prokhorov A 2016 Forthcoming 'Heavy tails and copulas: Limits of diversification revisited', Economics Letters Link

Matsypura D, Neo E and Prokhorov A 2016 Forthcoming 'Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem', Economics Letters Link

2015

4
Journal Article/s

MurtazashvilIi 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'économique, vol.48:5, pp. 1733-61 Link

5
Conference Paper/s

Prokhorov A 2015 'Endogeneity in Stochastic Frontier Models', INFORMS 2015 Annual Meeting, Philadelphia, United States, 4th November 2015

Prokhorov A, Schepsmeier U and Zhu Y 2015 'Generalized Information Matrix Test for Copulas', 11th International Symposium on Econometrics Theory and Applications SETA 2015, Tokyo, Japan, 31st May 2015

6
Conference Proceeding/s

Darkhovsky B, Piryatinska A, Prokhorov A and Xia F 2015 'The Epsilon-complexity for Copulas', Proceedings of the 10th IEEE Conference on Industrial Electronics and Applications ICIEA 2015, Auckland, New Zealand, 17th June 2015

2014

2
Book Section/s

Huang W and Prokhorov A 2014 'Bartlett-Type Correction of Distance Metric Test' in Festschrift in Honor of Peter Schmidt: Economic Methods and Applications, ed. R Sickles & W Horrace, Springer, London, United Kingdom, pp. 371-403

4
Journal Article/s

Huang W and Prokhorov A 2014 'Goodness-of-Fit Test for Copulas', Econometric Reviews, vol.33:7, pp. 751-71 Link

Amsler C, Prokhorov A and Schmidt P 2014 'Using Copulas to Model Time Dependence in Stochastic Frontier Models', Econometric Reviews, vol.33:5-6, pp. 497-522 Link

Burda M and Prokhorov A 2014 'Copula based factorization in Bayesian multivariate infinite mixture models', Journal of Multivariate Analysis, vol.127, pp. 200-13 Link

Anatolyev S, Khabibullin R and Prokhorov A 2014 'An algorithm for constructing high dimensional distributions from distributions of lower dimension', Economics Letters, vol.123:3, pp. 257-61 Link

5
Conference Paper/s

Prokhorov A and Hirukawa M 2014 'Consistent Estimation of Linear Regression Models Using Matched Data', 1st European Winter Meeting of the Econometric Society, Madrid, Spain, 16th December 2014

Prokhorov A and Ibragimov R 2014 'Fat Tails and Copulas: Limits of Diversification Revisited', 8th International Conference on Computational and Financial Econometrics CFE 2014, Pisa, Italy, 8th December 2014

Prokhorov A and Burda M 2014 'Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models', International Society of Bayesian Analysis World Meeting, Cancun, Mexico, 18th July 2014

Prokhorov A and Di L 2014 'Sparse Sieve MLE', International Panel Data Conference, Tokyo, Japan, 12th July 2014

Prokhorov A and Medovikov I 2014 'Measures of Vectorial Dependence', Australian Statistical Society/Institute of Mathematical Statistics Annual Meeting, Sydney, Australia, 9th July 2014

2013

5
Conference Paper/s

Murtazashvili I, Liu D and Prokhorov A 2013 'Two-Sample Nonparametric GMM Estimation', 30th Annual Meeting of the Canadian Econometrics Study Group, Waterloo, Canada, 20th October 2013

Burda M and Prokhorov A 2013 'Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models', Econometric Society Australasian Meeting ESAM2013, Sydney, Australia, 12th July 2013

Prokhorov A and Burda M 2013 'Copula-based Factorisation for Bayesian Infinite Mixture Models', 19th International Panel Data Conference, London, United Kingdom, 5th July 2013

Prokhorov A, Anatolyev S and Khabibullin R 2013 'Reconstructing High Dimensional Dynamic Distributions from Distributions of Lower Dimension', 33rd International Symposium on Forecasting - "Forecasting with Big Data", Seoul, Korea, (South) Republic of, 26th June 2013

Burda M and Prokhorov A 2013 'Nonparametric Bayesian Models', 47th Annual Conference of the Canadian Economics Association Meeting, Montreal, Canada, 2nd June 2013

Anatolyev S, Khabibulliny R and Prokhorov A 2013 'Reconstructing High Dimensional Dynamic Distributions from Distributions of Lower Dimension', New York Camp Econometrics VIII Conference, Bolton Landing, United States, 7th April 2013

2012

4
Journal Article/s

Prokhorov A 2012 'Second Order Bias of Quasi-MLE for Covariance Structure Models', Economics Letters, vol.114:2, pp. 195-7 Link

5
Conference Paper/s

Hill J and Prokhorov A 2012 'Robust GEL estimation and inference for GARCH models', Asian Meeting of the Econometric Society, Delhi, India, 22nd December 2012

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, 29th June 2012

Huang W and Prokhorov A 2012 'Bartlett-type correction of DM test', New York Camp Econometrics VII, Cooperstown, United States, 15th April 2012

2011

4
Journal Article/s

Conner T, Prokhorov A, Page C, Fang Y, Xiao Y X and Post P 2011 'Impairment and Abuse of Elderly by Staff in Long-Term Care in Michigan: Evidence From Structural Equation Modeling', Journal of Interpersonal Violence, vol.26:1, pp. 21-33 Link

5
Conference Paper/s

Hill J and Prokhorov A 2011 'Generalized Empirical Likelihood Estimation with Imbedded Tail-Trimming', NBER-NSF Time Series Conference, East Lansing, United States, 17th September 2011

Panchenko V and Prokhorov A 2011 'Efficient Semiparametric Estimation of Parameters in Marginals', Conference in Honor of Professor Peter Schmidt, Houston, United States, 2nd July 2011

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, 24th June 2011

Hill J and Prokhorov A 2011 'GEL Estimation of Strong Garch', 2nd Humboldt-Copenhagen Conference in Financial Econometrics, Copenhagen, Denmark, 14th May 2011

Hill J and Prokhorov A 2011 'GEL with tail trimming', 7th International Symposium on Econometric Theory and Applications SETA2011, Melbourne, Australia, 16th April 2011

Panchenko V and Prokhorov A 2011 'Semiparametric Estimation of Parameters in Marginals', North American Winter Meetings of the Econometric Society, Denver, United States, 9th January 2011

2010

4
Journal Article/s

Post L, Page C, Conner T, Prokhorov A, Fang Y and Biroscak BJ 2010 'Elder Abuse in Long-Term Care: Types, Patterns and Risk Factors', Research on Aging, vol.32:3, pp. 323-48 Link

5
Conference Paper/s

Prokhorov A 2010 'A goodness of fit test for copulas', Quantitative Methods in Finance Conference, Sydney, Australia, 18th December 2010

Prokhorov A 2010 'Efficient estimation of parameters in marginals in semiparametric multivariate models', 27th Annual Meeting of the Canadian Econometrics Study Group Meeting, Vancouver, Canada, 23rd October 2010

Prokhorov A 2010 'Sieve MLE', 10th International Scientific School Modelling and Analysis of Safety and Risk in Complex Systems, St. Petersburg, Russia (Russian Federation), 10th July 2010

Panchenko V and Prokhorov A 2010 'Sieve MLE', 16th International Conference on Panel Data, Amsterdam, Netherlands, 4th July 2010

2009

4
Journal Article/s

Prokhorov A and Schmidt P 2009 'GMM Redundancy Results for General Missing Data Problems', Journal of Econometrics, vol.151:1, pp. 47-55 Link

Prokhorov A and Schmidt P 2009 'Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas', Journal of Econometrics, vol.153:1, pp. 93-104 Link

Prokhorov A 2009 'On Relative Efficiency of Quasi-MLE and GMM Estimators of Covariance Structure Models', Economics Letters, vol.102:1, pp. 4-6 Link

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, vol.21:3, pp. 239-52 Link

5
Conference Paper/s

Prokhorov A 2009 'Sieve MLE', Quantitative Methods in Finance Conference, Sydney, Australia, 19th December 2009

Prokhorov A 2009 'Semiparametric estimation of parameters in marginals', Far East and South Asia Meeting of the Econometric Society, Tokyo, Japan, 5th August 2009

Prokhorov A 2009 'Goodness of fit testing for copula functions', 9th International Scientific School Modelling and Analysis of Safety and Risk in Complex Systems, St. Petersburg, Russia (Russian Federation), 11th July 2009

Prokhorov A 2009 'Goodness of fit test for copulas', International Conference on Econometrics and World Economy, Fukuoka, Japan, 24th March 2009

2008

2
Book Section/s

Post L, Salmon C, Prokhorov A, Oehmke J and Swierenga S 2008 'Aging and Elder Abuse: Projections for Michigan' in Applied Demography in the 21st Century, ed. Steve H Murdock and David Swanson, Springer, Netherlands, pp. 103-112 Link

4
Journal Article/s

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

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

5
Conference Paper/s

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, San Diego, United States, 29th October 2008

Amsler C, Prokhorov A and Schmidt P 2008 'Modelling time dependence in stochastic frontier models', 25th Annual Meeting of the Canadian Econometrics Study Group, Montreal, Canada, 28th September 2008

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, Orlando, United States, 29th July 2008

Prokhorov A 2008 'On higher order properties of some estimator of covariance structure models', Australasian Meeting of the Econometric Society, Wellington, New Zealand, 11th July 2008

Prokhorov A 2008 'Robustness and redundancy of copulas in multivariate time series models', 2nd International Workshop on Computational and Financial Econometrics, Neuchatel, Switzerland, 21st June 2008

Prokhorov A 2008 'Goodness of fit tests for copula functions', Contemporary Global Economy: Trends and Prospects, St.Petersburg, Russia (Russian Federation), 26th April 2008

2007

5
Conference Paper/s

Prokhorov A and Schmidt P 2007 'Robustness and Redundancy of Copulas', 14th International Panel Data Conference, Xiamen, China, 18th July 2007

2006

4
Journal Article/s

Post L, Swierenga SJ, 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, vol.1:2

5
Conference Paper/s

Prokhorov A and Schmidt P 2006 'Validity and redundancy of copulas in likelihood based models', Quantitative Methods in Finance Conference, Sydney, Australia, 16th December 2006

Prokhorov A 2006 'GMM redundancy results for general missing data problem', 23rd Annual Meeting of the Canadian Econometrics Study Group Meeting, Niagara Falls, Canada, 21st October 2006

Ozlu P and Prokhorov A 2006 'Modelling Central Bank Intervention as a Threshold Regression: Evidence from Turkey', Turkish Economic Association Meeting, Ankara, Turkey, 13th September 2006

Prokhorov A and Schmidt P 2006 'Robustness, Redundancy and Validity of Copulas', North American Winter Meetings of the Econometric Society, Boston, United States, 8th January 2006

Research Grants

2016 - 2018

Modern robust methods of modelling and analysis of big data in economics and finance, adapted to effective use on high-performance (parallel and distributed) computing systems and with applications to the study of crises and contagion in financial and eco

The project joins leading scientists in the field of statistical and computational methods to develop new approaches, tools and methods for robust statistical and econometric inference in big databases of dependent and heterogeneous financial and economic observations, and to apply the improved methods to computer and mathematical modeling and robust statistical inference of financial and economic markets using high-performance parallel and distributed computing systems and specifically designed software. The project will establish academic collaborations between research group participants at the Innopolis University, the Imperial College London Business School and the Department of Computing at the Imperial College London, the University of Sydney Business School and Carnegie Mellon University, and other leading experts in Russia and abroad. It will provide discussion forums by organizing conferences, seminars and summer schools for participants from academia and the IT and finance industries.

Priority Areas Program Research Grant

2015

New Aspects of Copula Modeling for Heavy Tailed Economic and Financial Data

Today's financial and economic data is often heavy tailed and correlated in some usually unknown way. The project will develop new econometric tools for modelling heavy tailed multivariate distributions with flexible patterns of dependence.

Bridging Support Grant

2014

Fat Tails, Heterogeneity and Dependence in Returns: Modelling Crises and Contagion in Economics and Finance

Today's financial markets are highly volatile and interdependent. This often leads to extreme co-movements known as contagion or crises. This project will develop new tools for modelling the market behaviour during crises. It will examine how fat tails of various asset return distributions combine with various dependence patterns between assets to produce unusual market outcomes often linked with crises such as securities mispricing, excessive borrowing and suboptimal portfolio choices. In this way the project will use new theoretical work in the area of risk management and statistical estimation to answer important practical questions faced by market participants and policy makers about how to best handle contagion.

Bridging Support Grant

See all Business School Grants

Recent Units Taught