Heavy-Tailed Distributions and Robustness in Economics and Finance
Marat Ibragimov, Rustam Ibragimov, Johan Walden (auth.)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.
Categories:
Year:
2015
Edition:
1
Publisher:
Springer International Publishing
Language:
english
Pages:
119
ISBN 10:
3319168762
ISBN 13:
9783319168760
Series:
Lecture Notes in Statistics 214
File:
PDF, 1.70 MB
IPFS:
,
english, 2015
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