Heavy-Tailed Distributions and Robustness in Economics and Finance / by Marat Ibragimov, Rustam Ibragimov, Johan Walden.

Format:

Book

Author/Creator:

Ibragimov, Marat, Author.

Ibragimov, Rustam, Author.

Walden, Johan, Author.

Series:

Lecture Notes in Statistics, 2197-7186 ; 214

Language:

English

Subjects (All):

Statistics.

Econometrics.

Statistics in Business, Management, Economics, Finance, Insurance.

Statistical Theory and Methods.

Local Subjects:

Statistics in Business, Management, Economics, Finance, Insurance.

Statistical Theory and Methods.

Econometrics.

Physical Description:

1 online resource (131 p.)

Edition:

1st ed. 2015.

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2015.

Language Note:

English

Summary:

This book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. A central theme is that of (non-)robustness, i.e., the fact that the presence of heavy tails can either reinforce or reverse the implications of a number of models in these fields, depending on the degree of heavy-tailedness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications.

Contents:

Introduction

Implications of Heavy-tailed ness

Inference and Empirical Examples

Conclusion.

Notes:

Description based upon print version of record.

Includes bibliographical references.

Other Format:

Print version: Ibragimov, Marat. Heavy-tailed distributions and robustness in economics and finance.

ISBN:

3-319-16876-2

3-319-16877-0