Heavy-Tailed Distributions and Robustness in Economics and Finance
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 implication...
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2015
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oai:scholar.dlu.edu.vn:DLU123456789-592572023-11-11T06:31:57Z Heavy-Tailed Distributions and Robustness in Economics and Finance Ibragimov, Marat Ibragimov, Rustam Walden, Johan General Statistics Probability Probability theory Distribution 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-tailed ness. 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. 2015-12-01T01:05:22Z 2015-12-01T01:05:22Z 2015 Book 978-3-319-16877-7 978-3-319-16876-0 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59257 en application/pdf Springer |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| topic |
General Statistics Probability Probability theory Distribution |
| spellingShingle |
General Statistics Probability Probability theory Distribution Ibragimov, Marat Ibragimov, Rustam Walden, Johan Heavy-Tailed Distributions and Robustness in Economics and Finance |
| description |
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-tailed ness. 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. |
| format |
Book |
| author |
Ibragimov, Marat Ibragimov, Rustam Walden, Johan |
| author_facet |
Ibragimov, Marat Ibragimov, Rustam Walden, Johan |
| author_sort |
Ibragimov, Marat |
| title |
Heavy-Tailed Distributions and Robustness in Economics and Finance |
| title_short |
Heavy-Tailed Distributions and Robustness in Economics and Finance |
| title_full |
Heavy-Tailed Distributions and Robustness in Economics and Finance |
| title_fullStr |
Heavy-Tailed Distributions and Robustness in Economics and Finance |
| title_full_unstemmed |
Heavy-Tailed Distributions and Robustness in Economics and Finance |
| title_sort |
heavy-tailed distributions and robustness in economics and finance |
| publisher |
Springer |
| publishDate |
2015 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59257 |
| _version_ |
1819766346093690880 |