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Heavy-Tailed Distributions and Robustness in Economics and Finance

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Heavy-Tailed Distributions and Robustness in Economics and Finance/ by Marat Ibragimov, Rustam Ibragimov, Johan Walden.
作者:	Ibragimov, Marat.
其他作者:	Ibragimov, Rustam.
面頁冊數:	XIV, 119 p. 9 illus.online resource. :
Contained By:	Springer Nature eBook
標題:	Statistics . -
電子資源:	https://doi.org/10.1007/978-3-319-16877-7
ISBN:	9783319168777

Heavy-Tailed Distributions and Robustness in Economics and Finance
Ibragimov, Marat.

Heavy-Tailed Distributions and Robustness in Economics and Finance[electronic resource] /by Marat Ibragimov, Rustam Ibragimov, Johan Walden. - 1st ed. 2015. - XIV, 119 p. 9 illus.online resource. - Lecture Notes in Statistics,2140930-0325 ;. - Lecture Notes in Statistics,214.

Introduction -- Implications of Heavy-tailed ness -- Inference and Empirical Examples -- Conclusion.

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.

ISBN: 9783319168777

Standard No.: 10.1007/978-3-319-16877-7doiSubjects--Topical Terms:

1253516
Statistics .

LC Class. No.: QA276-280

Dewey Class. No.: 330.015195

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