Heavy-Tailed Distributions and Robustness in Economics and Finance / Lecture Notes in Statistics Bd.214 (PDF)
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
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.
Since 2012, Rustam Ibragimov works as a Professor of Finance and Econometrics at the Imperial College Business School. Professor Ibragimov received his Ph.D. in Economics from Yale University in 2005. He also holds a Ph.D. degree in Mathematics from the Uzbek Academy of Sciences. Following his graduation from Yale and prior to joining the Imperial, Rustam Ibragimov was an Assistant Professor (2005-2009) and then an Associate Professor (2009-2012) at Harvard's Economics Department. Professor Ibragimov's current research interests include modelling crises and contagion in financial and economic markets and the analysis of their effects on properties of key models in economics and finance; development of robust econometric and statistical inference methods and their applications in financial econometrics.
Johan Walden is an Associate Professor of Finance at University of California at Berkeley, Haas School of Business. He received his Ph.D. in financial economics from Yale University. Professor Walden's research is focused on asset pricing with information networks, financial intermediaries, and on risk management with heavy-tailed risks. He also has a Ph.D. in applied mathematics from Uppsala University, Sweden.
- Autoren: Marat Ibragimov , Rustam Ibragimov , Johan Walden
- 2015, 2015, 119 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3319168770
- ISBN-13: 9783319168777
- Erscheinungsdatum: 23.05.2015
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Größe: 1.70 MB
- Ohne Kopierschutz
- Vorlesefunktion
Schreiben Sie einen Kommentar zu "Heavy-Tailed Distributions and Robustness in Economics and Finance / Lecture Notes in Statistics Bd.214".
Kommentar verfassen