Artem Prokhorov. Contact Information. Education. Current Affiliations. Previous Affiliations. Academic Visits

Transcription

1 Artem Prokhorov Contact Information Discipline of Business Analytics Tel.: University of Sydney Business School Fax: Sydney NSW artem.prokhorov@sydney.edu.au Australia Web: Education Ph.D.(2006) ê.ý.í.(2003) M.A.(2001) äèïëîì(1999) Michigan State University St.Petersburg State University Central Michigan University St.Petersburg State University Current Affiliations University of Sydney Business School, Australia St.Petersburg State University, Russia Associate Professor Adjunct Professor Previous Affiliations Jun 11 Jul 13 Department of Economics, Concordia Associate Professor University, Montreal, Canada (Tenured) Feb 09 Jan 13 CIREQ, Montreal, Canada Research Fellow Jul 06 Jun 11 Department of Economics, Concordia Assistant Professor University, Montreal, Canada (Tenure-Track) Aug 01 Jun 06 Department of Economics, Michigan State Instructor, Teaching University, East Lansing, USA and Research Assistant Sept 99 Sept 00 Faculty of Economics, St.Petersburg State Instructor University, St.Petersburg, Russia Mar 99 May 99 Kleinwort Benson Fixed-Income Research Research Associate Dresdner Bank AG, Frankfurt-am-Main Academic Visits Feb 16 May 16 Nov 15 Feb 16 Jul 12 Dec 12 Sept 11 May 12 Jan 11 Aug 11 Jul 08 Aug 08 Jun 07 Aug 07 School of Economics, University of New South Wales, Sydney, Australia Faculty of Economics, St.Petersburg State University, Russia School of Economics, University of Sydney, Australia Department of Economics, Harvard University, Boston, USA School of Economics, University of New South Wales, Sydney, Australia School of Economics, University of New South Wales, Sydney, Australia Center for Statistical Training and Consulting, Michigan State University, East Lansing, USA

2 Artem Prokhorov short CV October of 9 Book Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance (with Rustam Ibragimov), 2017, World Scientific Publishing & Imperial College Press, ISBN Refereed Book Chapters 1. Estimating Asymmetric Dynamic Distributions in High Dimensions (with Stanislav Anatolyev and Renat Khabibullin), in Asymmetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns, Alcock, Jamie; Satchell, Stephen (Eds.), 2017, Wiley; ISBN: Bartlett-type Correction of Distance Metric Test (with Wanling Huang), in Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, Sickles, Robin; Horrace, William (Eds.), 2014, Springer; ISBN Aging and Elder Abuse: Projections for Michigan (with Lori Post, Sarah Swierenga, James Oehmke, Charles Salmon, Emily Meyer, Vivek Joshi) in Applied Demography in the 21st century, Murdock, Steve H.; Swanson, David (Eds.), 2008, Springer; ISBN Refereed Papers 1. Generalized Information Matrix Test for Copulas (with Ulf Schepsmeier and Yajing Zhu), Revision Requested, Econometric Reviews 2. Consistent Estimation of Linear Regression Models Using Matched Data (with Masayuki Hirukawa), Forthcoming, Journal of Econometrics 3. Endogenous Environmental Variables in Stochastic Frontier Models (with Peter Schmidt and Christine Amsler), Journal of Econometrics, 2017, 199(2) 4. A New Measure of Vector Dependence, with an Application to Financial Contagion (with Ivan Medovikov), Journal of Financial Econometrics, 2017, 15(3) 5. Heavy Tails and Copulas: Limits of Diversification Revisited (with Rustam Ibragimov), Economics Letters, 2016, Estimation of Hierarchical Archimedean Copulas as Shortest Path Problem (with Emily Neo and Dmytro Matsypura), Economics Letters, 2016, Endogeneity in Stochastic Frontier Models (with Christine Amsler and Peter Schmidt), Journal of Econometrics, 2016, 190(2) 8. GEL Estimation for Semi-Strong Non-Linear GARCH with Robust Empirical Likelihood Inference (with Jonathan Hill), Journal of Econometrics, 2016, 190(1) 9. The ε-complexity of Copulas (with Boris Darkhovsky, Alexandra Piryatinska and Fujie Xia), Industrial Electronics and Applications (ICIEA), Proceedings of 2015 IEEE 10th Conference, Two-Sample Nonparametric Estimation of Intergenerational Income Mobility in the United States and Sweden (with Di Liu and Irina Murtazashvili), Canadian Journal of Economics, 2015, 48(2)

3 Artem Prokhorov short CV October of An Algorithm for Reconstructing High Dimensional Distributions from Distributions of Lower Dimension (with Stanislav Anatolyev and Renat Khabibullin), Economics Letters, 2014, 123(3) 12. Copula-Based Factorization in Bayesian Multivariate Infinite Mixture Models (with Martin Burda), Journal of Multivariate Analysis, 2014, Using Copulas to Model Time Dependence in Stochastic Frontier Models (with Christine Amsler and Peter Schmidt), Econometric Reviews, 2014, 33(5-6) 14. Goodness-of-Fit Test for Copulas (with Wanling Huang), Econometric Reviews, 2014, 33(7) 15. Second Order Bias of Quasi-MLE for Covariance Structure Models, Economics Letters, 2012, 114(2) 16. Impairment and Abuse of Elderly in Long Term Care in Michigan: Evidence from Structural Equation Modeling (with Tom Conner, Connie Page, Yu Fang, Lori Post, Yimin Xiao), Journal of Interpersonal Violence, 2011, 26(1) 17. Elder Abuse in Long Term Care: Types, Patterns, and Risk Factors (with Connie Page, Tom Conner, Yu Fang, and Lori Post), Research on Aging, 2010, 32(3) 18. Likelihood-based Estimation in a Panel Setting: Robustness, Redundancy, and Validity of Copulas (with Peter Schmidt), Journal of Econometrics, 2009, 153(1) 19. GMM Redundancy Results for General Missing Data Problems (with Peter Schmidt), Journal of Econometrics, 2009, 151(1) 20. On Relative Efficiency of Quasi-MLE and GMM Estimators of Covariance Structure Models, Economics Letters, 2009, 102(1) 21. The Effect of Care Setting on Elder Abuse: Results from a Michigan Survey (with Connie Page, Tom Conner, Yu Fang, Lori Post), Journal of Elder Abuse and Neglect, 2009, 21(3) 22. Modelling Central Bank Intervention as a Threshold Regression: Evidence from Turkey (with Pinar Özbay), Journal of Economic and Social Research, 2008, 10(2) 23. Nonlinear Dynamics and Chaos Theory in Economics: A Historical Perspective, Quantile, 2008, 4 [in Russian] 24. The Implications of an Aging Population Structure (with Lori Post, Sarah Swierenga, James Oehmke, Charles Salmon, Emily Meyer, Vivek Joshi), International Journal of Interdisciplinary Social Sciences, 2006, 1(2) 25. An Endogenous Growth Model with the Mafia and the Underground Economy, Âåñòíèê ìîëîäûõ ó åíûõ, 2002, 1 [in Russian] Working Papers Efficient estimation of parameters in marginals in semiparametric multivariate models (with Valentyn Panchenko) A Simple Estimator for Threshold Regressions with Endogenous Thresholds (with Seung Hyun Hong and Yajing Zhu) On Asymptotic Efficiency of Improved QMLE versus Sieve MLE (with Di Liu) Sparse Sieve MLE (with Di Liu) Copula by Triangulation (with Edward Anderson and Yajing Zhu) Bayesian Adaptive Sparse Copula (with Martin Burda)

4 Artem Prokhorov short CV October of 9 Conference Presentations and Invited Talks 2017: ESSEC Business School, Paris (scheduled); Monash University, Melbourne; University of Miami Business School, Miami; Florida State University, Tallahassee; Academia Sinica, Taipei; Drexel University Business School, Philadelphia; National Research University Higher School of Economics, St.Petersburg; Workshop on Risk Management Approaches in Engineering Applications, Gainsville; 1st Econometrics and Statistics (EcoSta) Conference, Hong- Kong; Asian Meetings of the Econometrics Society (AMES), Hong-Kong; SETA, Beijing; 31 European Meeting of Statisticians (EMS), Helsinki; 11th International Conference on Computational and Financial Econometrics (CFE-ERCIM), London (scheduled); Annual Conference of the International Association for Applied Econometrics (IAAE), Sapporo 2016: St.Louis University; Vanderbilt University, Nashville; St.Petersburg State University (Applied Math); Steklov Institute of Mathematics of RAS, St.Petersburg; University of Sydney (Econ); National Research University Higher School of Economics, St.Petersburg; University of New South Wales (Math&Stats), Sydney; SETA/NZESG, Hamilton, NZ; North American Productivity Workshop (NAPW), Quebec City; North American Summer Meetings of the Econometric Society (NASMES), Philadelphia; IAAE, Milan, Italy; International Panel Data Conference (IPD), Perth; AMES, Sydney; Institute for Operations Research and the Management Sciences Annual Conference (INFORMS), Nashville; CFE-ERCIM, Seville 2015: University of Queensland, Brisbane; Macquarie University, Sydney; Nonparametric copula workshop, Munich; INFORMS, Philadelphia; SETA, Tokyo; CFE-ERCIM, London; International Economic Symposium, St. Petersburg; 10th IEEE Conference on Industrial Electronics and Applications, Auckland; IAAE, Thessaloniki; European Workshop on Efficiency and Productivity Analysis (EWEPA), Helsinki 2014: University of New South Wales (Math&Stats), Sydney; University of Tasmania, Hobart; University of Sydney (Econ); European University, St.Petersburg; World Meeting of ISBA, Cancun; IPD, Tokyo; ASC-IMS Meeting, Sydney; CFE-ERCIM, Pisa; AMES, Hobart; Modelling and Analysis of Safety and Risk in Complex Systems (MASR), St.Petersburg; Quantitative Methods in Finance (QMF) Conference, Sydney 2013: University of New South Wales, Sydney; Monash University, Melbourne; University of Sydney (Econ); European University, St.Petersburg; Canadian Econometrics Study Group Meeting (CESG), Waterloo, ON; CFE-ERCIM, London; New York Camp Econometrics, Bolton Landing, NY; Canadian Economics Association (CEA) Meeting, Montreal; International Symposium on Forecasting, Seoul; AMES, Sydney; IPD, London 2012: New Economic School, Moscow; Concordia University Business School, Montreal; University of New South Wales, Sydney; University of Technology, Sydney; University of Sydney Business School; Bates White, LLC, Washington; New York Camp Econometrics, Cooperstown; Computing in Economics and Finance, Prague; AMES, Delhi 2011: Syracuse University; Harvard University, Boston; University of New South Wales, Sydney; University of Auckland; New Economic School, Moscow; Higher School of Economics, Moscow; Kyoto University; NBER-NSF Time Series Conference, East Lansing; North American Winter Meetings of the Econometric Society (NAWMES), Denver; Humboldt-Copenhagen Conference in Financial Econometrics, Copenhagen; EWEPA, Verona; Conference in Honor of Professor Peter Schmidt, Houston; SETA, Melbourne 2010: University of North Carolina, Chapel Hill; New Economic School, Moscow; University of Toronto; CESG, Vancouver; MASR, St.Petersburg; IPD, Amsterdam; QMF, Sydney 2009: Concordia University, Montreal; University of New South Wales, Sydney; University of Pittsburgh; Carleton University, Ottawa; Ehwa University, Seoul; QMF, Sydney; International Conference on Econometrics and World Economy, Fukuoka; MASR), St.Petersburg; Far East and South Asia Meeting of the Econometric Society (FEMES), Tokyo

5 Artem Prokhorov short CV October of : New Economic School, Moscow; University of New South Wales, Sydney; Monash University, Melbourne; CESG, Montreal; American Agricultural Economics Association (AAEA) Meeting, Orlando; AMES, Wellington; CFE-ERCIM, Neuchatel; American Public Health Association Meeting, San Diego; Contemporary Global Economy: Trends and Prospects, St.Petersburg; Concordia Workshop on Ageing, Montreal 2007: IPD, Xiamen 2006: Florida State University, Tallahassee; Bates White, LLC, Washington; Concordia University, Montreal; Emory University, Atlanta; University of New South Wales, Sydney; Massey University, Auckland; Central Michigan University, Mt. Pleasant; QMF, Sydney; CESG, Niagara Falls; Turkish Economic Association Meeting, Ankara; NAWMES, Boston : Villa Mondragone Workshop on Economic Theory and Econometrics, Rome; Annual Australian Conference of Economists, Sydney; Mannheim Empirical Research Summer School; International Conference of Young Economists, St.Petersburg; Midwest Conference of the American Association for the Advancement of Slavic Studies, Cleveland Grants and Scholarships General Research and Industry Partnership Grant, A$15,000, 2017 RSF Priority Areas Team Research Grant, 18,000,000, University DVC-R Bridging Support Fellowship, A$30,000, 2015 General Research and Industry Partnership Grant, A$25,000, 2014 University DVC-R Bridging Support Fellowship, A$30,000, 2014 SSHRC Standard Research Grant, C$60,000, SSHRC Standard Research Grant, C$40,000, Faculty Seed Funding, C$7,000, FQRSC Research Grant, C$45,000, Faculty Start-up Grant, C$20,000, Dissertation Fellowship, Michigan State University, 2006 Graduate Travel Grant, Michigan State University, 2004, 2005 Neville Scholarship, Michigan State University, 2002, 2004 Graduate Research Grant, Central Michigan University, 2001 Research Grant, Ministry of Education of Russia, 2000 Edmund Muskie Graduate Fellowship, Open Society Institute Fellowship DAAD Graduate Scholarship, Humboldt University, USIA Undergraduate Scholarship, University of Louisville, Honours Scholarship, St.Petersburg State University,

6 Artem Prokhorov short CV October of 9 Courses Taught Advanced Analytics (undergraduate) Applied Business Forecasting (postgraduate) Applied Econometrics (undergraduate) Applied Micro-Econometrics (postgraduate) Data Science in Business (postgraduate) Econometric Theory I (postgraduate) Honours Times Series Analysis (postgraduate) International Finance (postgraduate and undergraduate) Principles of Economics Using Calculus (undergraduate) Quantitative Methods for Business (postgraduate) Statistical Learning and Data Mining (postgraduate and undergraduate) Stochastic Frontier Analysis Using STATA (postgraduate) Survey of International Economics (undergraduate) Topics in Advanced Econometrics (postgraduate) Student Supervision Jian Tina Zhai (PhD ongoing, U Sydney, chair) Doron Samuel (PhD ongoing, U Sydney, member) Shawn Ho (PhD ongoing, U Sydney, member) Yajing Zhu (PhD 2017, Concordia, chair) Fujie Xia (PhD 2014, U Sydney, chair; now at U Sydney) Di Liu (PhD 2014, Concordia, chair; now at Stata Corp) Wanling Huang (PhD 2010, Concordia, chair; now at U of Texas - Edinburg) Hany Fahmy (PhD 2011, Concordia, member; now at U of New Brunswick) Miroslav Kučera (PhD 2010, Concordia, member; now at HRSD Canada) Ibrahim Jamali (PhD 2009, Concordia, member; now at American U of Beirut) Rayhaneh Esmaeilzadeh (PhD 2009, Concordia, member; now at MCSS Ontario) James Yu (PhD 2008, Concordia, member; now at Champlain College) Tariq Scherer (MA 2015, U Sydney, chair) Emily Neo (Honours 2015, U Sydney, chair) Ang Li (Honours 2014, U Sydney, chair) Rong Tan (MA 2012, Concordia, chair)

7 Artem Prokhorov short CV October of 9 Duangsuda Sopchokchai (MA 2011, Concordia, chair) Yang Yang (MA 2010, Concordia, chair) Dongli Hu (MA 2010, Concordia, chair) Carolina Corral (Masters 2009, University of Montreal, co-chair) Nur Abdi (Masters 2008, McGill, co-chair) External Examiner on PhD Thesis: Tina Huynh (Accounting, USyd 2016), Ehsan Rasolinezhad (Economics, SPbU 2016), Jose Hernandez (Business, ECU 2015), Quan Gan (Economics, UNSW 2013), Yafang Wang (Maths & Stats, Concordia 2010), Alexei Shkvarov (Economics, SPbU 2006), Pavel Lushankin (Management, SPbU 2006) Examiner of numerous Masters and Honours Theses Other Professional Activities Co-Editor, The St.Petersburg University Journal of Economic Studies, 2016 Associate Editor, Econometrics and Statistics (EcoSta), 2016 Associate Editor, Rutgers Business Review, 2015 Associate Editor, Dependence Modelling, Program Committee Member & Session Chair, 2018 EcoSta Conference, Hong Kong Program Committee Member & Session Chair, 2017 EcoSta Conference, Hong Kong Program Committee Member & Session Chair, 2016 CFE-ERCIM Conference, Seville Session Chair, 2017 CFE-ERCIM Conference, London Session Chair, 2016 IPD Conference, Perth, WA Session Chair, 2016 NASM, Philadelphia, PA Session Chair, 2016 NAPW, Quebec City, QC Session Chair, 2016 SETA/NZESG Meeting, Hamilton, NZ Co-organizer and Discussant, 2015 Sydney Econometrics Research Group Workshop Program Committee Member & Session Chair, 2015 CFE-ERCIM Conference, London Program Committee Member, 2015 NRU-HSE Conference on Modern Econometric Tools and Applications, Nizhni Novgorod Reviewer, Excellence in Research for Australia (ERA), 2015 Reviewer, 2015 IEEE Conference on Industrial Electronics and Applications, Auckland Discussant, 2015 MEAFA Meetings, Sydney Session Chair, 2014 QMF Conference, Sydney Session Chair, 2014 CFE-ERCIM Conference, Pisa Discussant, 2014 MEAFA Meetings, Sydney Session Chair, 2013 Panel Data Conference, London

8 Artem Prokhorov short CV October of 9 Session Chair, 2013 International Symposium on Forecasting, Seoul Discussant, 2013 CEA Meetings, Montreal Session Chair, 2013 CIREQ Time Series Conference, Montreal Program Committee Member, 2011 International Conference on Panel Data, Montreal Reviewer, 2009 Midwest Finance Association, Chicago Scientific Committee Member, 2009 Canadian Econometrics Study Group, Ottawa Organizer, 2008 Canadian Econometrics Study Group, Montreal (with Nikolay Gospodinov) Session Chair, 2007 Canadian Econometrics Study Group, Montreal Discussant, 2006 Canadian Econometrics Study Group, Niagara Falls Discussant, 2005 North American Winter Meeting of Econometric Society, Philadelphia Department Service PhD Program Coordinator 2017 Honours Program Coordinator 2015, 2016 Seminar Series Organizer 2013, 2014, 2015 Hiring Committee 2006/2007, 2008/2009, 2009/2010 Graduate Program Committee 2009/2010, 2010/2011, 2012 Translation into Russian and co-editorial work for the Russian translation of - Tsoukalis, Loukas. The New European Economy Revisited. New York: Oxford University Press. May 1997 (St. Petersburg: Petropolis, 2001; supported by a grant from the Open Society Institute) - Friedman, Milton. The Optimum Quantity of Money and Other Essays. Chicago: Aldine Pub. Co (Moscow: EKSMO, 2010) Invited book reviews for Assessor ME Sharpe Routledge Elsevier Academic Press Wiley-Blackwell Taylor & Francis Australian Research Council Romanian National Research Council Refereeing for American Journal of Agricultural Economics American Journal of Public Health Annals of the Institute of Statistical Mathematics Applied Economics AStA Advances in Statistical Analysis Australian and New Zealand Journal of Statistics

9 Artem Prokhorov short CV October of 9 Computational Statistics & Data Analysis Empirical Economics Econometric Reviews Econometrics and Statistics (EcoSta) Economics Letters Energy Journal European Journal of Operational Research Fuzzy Sets and Systems International Journal of Computer Mathematics International Journal of Disaster Risk Reduction International Journal of Information Technology & Decision Making Journal of the American Statistical Association Journal of Applied Econometrics Journal of Banking and Finance Journal of Biometrics & Biostatistics Journal of Business and Economic Statistics Journal of Econometrics Journal of Empirical Finance Journal of Institutional Economics Journal of Financial Econometrics Journal of Multivariate Analysis Journal of Productivity Analysis Journal of Royal Statistical Society Journal of Statistical Planning and Inference Manchester School Mathematical Reviews Operations Research Review of Economics and Statistics Scandinavian Journal of Statistics Scottish Journal of Political Economy Springer Volume in Honor of P. Schmidt Statistics A Journal of Theoretical and Applied Statistics Statistics and Probability Letters The B.E. Journals in Macroeconomics