ENGLISH

Heavy-Tailed Distributions and Robustness in Economics and Finance

By Marat Ibragimov , Rustam Ibragimov , Johan Walden (auth.)

Book information

Publisher
Springer International Publishing
Year
2015
ISBN
978-3-319-16876-0, 978-3-319-16877-7
DOI
10.1007/978-3-319-16877-7
Language
english
Format
PDF
Filesize
2 MB (1778978 bytes)
Series
Lecture Notes in Statistics 214
Edition
1
Pages
119\131
Topic
Economy
Time added
2015-07-18 18:00:00
Statistics for Business/Economics/Mathematical Fin

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.

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