Heavy-Tailed Distributions and Robustness in Economics and Finance

Business & Finance, Economics, Statistics, Nonfiction, Science & Nature, Mathematics
Cover of the book Heavy-Tailed Distributions and Robustness in Economics and Finance by Johan Walden, Rustam Ibragimov, Marat Ibragimov, Springer International Publishing
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Author: Johan Walden, Rustam Ibragimov, Marat Ibragimov ISBN: 9783319168777
Publisher: Springer International Publishing Publication: May 23, 2015
Imprint: Springer Language: English
Author: Johan Walden, Rustam Ibragimov, Marat Ibragimov
ISBN: 9783319168777
Publisher: Springer International Publishing
Publication: May 23, 2015
Imprint: Springer
Language: English

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.

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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.

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