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Heavy-Tailed Distributions and Robustness in Economics and Finance

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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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Series Title

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Call Number

001 IBR h

Publisher

: ., 2015

Collation

XIV, 119

Language

English

ISBN/ISSN

978-3-319-16876-0

Classification

001

Content Type

text

Media Type

computer

Carrier Type

online resource

Edition

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Subject(s)

Statistics for Business

Specific Detail Info

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Statement of Responsibility

Marat Ibragimov , Rustam Ibragimov , Johan Walden

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Cataloger

Khusnun

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