Heavy Tailed Distributions And Robustness In Economics And Finance

Author : Marat Ibragimov,Rustam Ibragimov,Johan Walden
Publisher : Springer
Page : 131 pages
File Size : 40,8 Mb
Release : 2015-05-23
Category : Business & Economics
ISBN : 9783319168777

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

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.

Author : Ibragimov Rustam,Prokhorov Artem
Publisher : World Scientific
Page : 304 pages
File Size : 41,6 Mb
Release : 2017-02-24
Category : Business & Economics
ISBN : 9789814689816

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Heavy Tails And Copulas: Topics In Dependence Modelling In Economics And Finance by Ibragimov Rustam,Prokhorov Artem Pdf

This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of today's research in economics, finance, econometrics and other fields — in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions — all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.

Author : S.T Rachev
Publisher : Elsevier
Page : 704 pages
File Size : 47,9 Mb
Release : 2003-03-05
Category : Business & Economics
ISBN : 0080557732

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Handbook of Heavy Tailed Distributions in Finance by S.T Rachev Pdf

The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Author : Michele Leonardo Bianchi,Stoyan V Stoyanov,Gian Luca Tassinari,Frank J Fabozzi,Sergio Focardi
Publisher : World Scientific
Page : 598 pages
File Size : 48,8 Mb
Release : 2019-03-08
Category : Business & Economics
ISBN : 9789813276215

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Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management by Michele Leonardo Bianchi,Stoyan V Stoyanov,Gian Luca Tassinari,Frank J Fabozzi,Sergio Focardi Pdf

The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

Author : Yoosoon Chang,Sokbae Lee,J. Isaac Miller
Publisher : Emerald Group Publishing
Page : 382 pages
File Size : 49,7 Mb
Release : 2023-04-24
Category : Business & Economics
ISBN : 9781837532148

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Essays in Honor of Joon Y. Park by Yoosoon Chang,Sokbae Lee,J. Isaac Miller Pdf

Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.

Author : Iosif Pinelis,Victor H. de la Peña,Rustam Ibragimov,Adam Osȩkowski,Irina Shevtsova
Publisher : Academic Press
Page : 198 pages
File Size : 42,9 Mb
Release : 2017-05-10
Category : Mathematics
ISBN : 9780128098929

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Inequalities and Extremal Problems in Probability and Statistics by Iosif Pinelis,Victor H. de la Peña,Rustam Ibragimov,Adam Osȩkowski,Irina Shevtsova Pdf

Inequalities and Extremal Problems in Probability and Statistics: Selected Topics presents various kinds of useful inequalities that are applicable in many areas of mathematics, the sciences, and engineering. The book enables the reader to grasp the importance of inequalities and how they relate to probability and statistics. This will be an extremely useful book for researchers and graduate students in probability, statistics, and econometrics, as well as specialists working across sciences, engineering, financial mathematics, insurance, and mathematical modeling of large risks. Teaches users how to understand useful inequalities Applicable across mathematics, sciences, and engineering Presented by a team of leading experts

Author : Karim M. Abadir,Risto D. H. Heijmans,Jan R. Magnus
Publisher : Cambridge University Press
Page : 793 pages
File Size : 40,6 Mb
Release : 2018-11-08
Category : Business & Economics
ISBN : 9780521822886

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Statistics by Karim M. Abadir,Risto D. H. Heijmans,Jan R. Magnus Pdf

Serves as a bridge between elementary and specialized statistics, with exercises that are fully solved and systematically built up.

Author : Michele Leonardo Bianchi
Publisher : Unknown
Page : 573 pages
File Size : 54,6 Mb
Release : 2019
Category : Asset management accounts
ISBN : 9813276207

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Handbook of Heavy-tailed Distributions in Asset Management and Risk Management by Michele Leonardo Bianchi Pdf

Author : Rustam Ibragimov,Artem Prokhorov
Publisher : Unknown
Page : 303 pages
File Size : 53,5 Mb
Release : 2017
Category : BUSINESS & ECONOMICS
ISBN : 9814689807

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Heavy Tails and Copulas by Rustam Ibragimov,Artem Prokhorov Pdf

"This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of today's research in economics, finance, econometrics and other fields — in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions — all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence."--Publisher's website.

Author : Jayakrishnan Nair,Adam Wierman,Bert Zwart
Publisher : Cambridge University Press
Page : 265 pages
File Size : 43,8 Mb
Release : 2022-06-09
Category : Business & Economics
ISBN : 9781316511732

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The Fundamentals of Heavy Tails by Jayakrishnan Nair,Adam Wierman,Bert Zwart Pdf

An accessible yet rigorous package of probabilistic and statistical tools for anyone who must understand or model extreme events.

Author : Bernd Scherer,Kenneth Winston,Kenneth James Winston
Publisher : Oxford University Press
Page : 530 pages
File Size : 43,7 Mb
Release : 2012
Category : Business & Economics
ISBN : 9780199553433

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The Oxford Handbook of Quantitative Asset Management by Bernd Scherer,Kenneth Winston,Kenneth James Winston Pdf

This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

Author : Samuel Kotz,Tomasz Kozubowski,Krzystof Podgorski
Publisher : Springer Science & Business Media
Page : 358 pages
File Size : 52,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461201731

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The Laplace Distribution and Generalizations by Samuel Kotz,Tomasz Kozubowski,Krzystof Podgorski Pdf

This book describes the inferential and modeling advantages that this distribution, together with its generalizations and modifications, offers. The exposition systematically unfolds with many examples, tables, illustrations, and exercises. A comprehensive index and extensive bibliography also make this book an ideal text for a senior undergraduate and graduate seminar on statistical distributions, or for a short half-term academic course in statistics, applied probability, and finance.

Author : Robert A. Meyers
Publisher : Springer Science & Business Media
Page : 919 pages
File Size : 48,8 Mb
Release : 2010-11-03
Category : Business & Economics
ISBN : 9781441977007

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Complex Systems in Finance and Econometrics by Robert A. Meyers Pdf

Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Author : Jonathan Batten,Peter G. Szilagyi
Publisher : Emerald Group Publishing
Page : 732 pages
File Size : 45,5 Mb
Release : 2011-03-02
Category : Business & Economics
ISBN : 9780857247544

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The Impact of the Global Financial Crisis on Emerging Financial Markets by Jonathan Batten,Peter G. Szilagyi Pdf

The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.

Author : J.E. Trinidad-Segovia,Miguel Ángel Sánchez-Granero
Publisher : MDPI
Page : 418 pages
File Size : 51,8 Mb
Release : 2021-02-12
Category : Business & Economics
ISBN : 9783036501963

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Quantitative Methods for Economics and Finance by J.E. Trinidad-Segovia,Miguel Ángel Sánchez-Granero Pdf

This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.