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Artem Prokhorov

Institution: University of Sydney

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/site/artembprokhorov/

First Publication: 2009

Most Recent: 2023

RePEc ID: ppr133 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 0.00 1.35 0.25 1.60 45%
Last 10 Years 0.00 6.73 2.02 1.43 10.18 88%
All Time 0.00 10.76 2.02 4.12 16.90 92%

Publication Statistics

Raw Publications 17
Coauthorship-Adjusted Count 15.15

Publications (17)

Year Article Journal Tier Authors
2023 A machine learning attack on illegal trading Journal of Banking & Finance B 3
2023 Forecasting tail risk measures for financial time series: An extreme value approach with covariates Journal of Empirical Finance C 4
2022 A new approach to credit ratings Journal of Banking & Finance B 3
2020 A Simple Estimator of Two‐Dimensional Copulas, with Applications Oxford Bulletin of Economics and Statistics B 3
2018 Moment redundancy test with application to efficiency-improving copulas Economics Letters C 3
2018 Consistent estimation of linear regression models using matched data Journal of Econometrics A 2
2017 Endogenous environmental variables in stochastic frontier models Journal of Econometrics A 3
2016 Heavy tails and copulas: Limits of diversification revisited Economics Letters C 2
2016 Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem Economics Letters C 3
2016 GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference Journal of Econometrics A 2
2016 Endogeneity in stochastic frontier models Journal of Econometrics A 3
2015 Two‐sample nonparametric estimation of intergenerational income mobility in the United States and Sweden Canadian Journal of Economics C 3
2014 An algorithm for constructing high dimensional distributions from distributions of lower dimension Economics Letters C 3
2012 Second order bias of quasi-MLE for covariance structure models Economics Letters C 1
2009 On relative efficiency of quasi-MLE and GMM estimators of covariance structure models Economics Letters C 1
2009 GMM redundancy results for general missing data problems Journal of Econometrics A 2
2009 Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas Journal of Econometrics A 2