Member Profile
Name

Olga Reznikova

Occupation Role

Risk management practitioner

Primary Industry Sector

Consultancy

Articles / Books Published

(1) Efficient estimation of a semiparametric dynamic copula model, Hafner, C., Reznikova, O., 2010. Computational Statistics & Data Analysis, 54 (11), p. 2609-2627.

(2) On the estimation of dynamic conditional correlation models. Hafner, C., Reznikova, O., 2010. Computational Statistics & Data Analysis, In Press.

(3) Time-varying copulas: a survey. Manner, H., Reznikova, O. 2010. Econometric Reviews, Forthcoming.

(4) Forecasting international stock market correlations: Does anything beat a CCC? Manner, H., Reznikova, O., 2010. Discussion Paper.

Lectures / Conference Speeches Delivered

• “Efficient estimation of a semiparametric dynamic copula model” for «Workshop on Missing Information in Survival Analysis Beyond Right Censoring» Ghent University Ghent, Belgium; at “Department of Quantitative Economics
University of Maastricht” Maastricht, The Netherlands
• “On the estimation of dynamic conditional correlation models” at «17th annual meeting of the Belgian Statistical Society» Faculty of Business and Economics and Leuven Statistics Research Centre, K.U.Leuven Lommel, Belgium
• “Efficient estimation of a semiparametric dynamic copula model” at «2nd International Workshop on Computational and Financial Econometrics (CFE’08)» Institut d’Informatique, Université de Neuchâtel Neuchâtel, Switzerland
• “Time-varying copulas: a survey” at «Workshop on Copula Theory and Its Applications» University of Warsaw Warsaw, Poland
• “On the estimation of dynamic conditional correlation models” at «3rd International Conference on
Computational and Financial Econometrics (CFE’09)» ” ERCIM, University of Cyprus Limassol, Cyprus
• “Modelling Operational Risk” at “Applied statistics seminar”, Catholic university of Louvian, Louvain-la-Neuve, Belgium