Heavy-tailed distributions and robustness in economics and finance

DOI10.1007/978-3-319-16877-7MaRDI QIDQ2350232zbMATHOpenAlexFDO

Authors Marat Ibragimov, Rustam Ibragimov, Johan Walden

Publication date 18 June 2015

Published in Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-16877-7

zbMATH Keywords

stable distributionextreme valuesrisklog-concave distributionrobust inferencevalue-at-riskdiversificationrisk measurerisk sharing

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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Cited in

(29)

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• Univariate stable distributions. Models for heavy tailed data
• On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
• Bounds for path-dependent options
• Fitting insurance and economic data with outliers: a flexible approach based on finite mixtures of contaminated gamma distributions
• New robust inference for predictive regressions
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• Pro‐cyclicality beyond business cycle
• On the robustness of location estimators in models of firm growth under heavy-tailedness
• Robust Bayesian choice
• Portfolio diversification and value at risk under thick-tailedness†
• Size distributions reconsidered
• A note on utility indifference pricing
• Income inequality and price elasticity of market demand: the case of crossing Lorenz curves
• A new look at the inverse Gaussian distribution with applications to insurance and economic data
• The Fundamentals of Heavy Tails
• Robust inference in conditionally heteroskedastic autoregressions
• Equity returns and sentiment
• Heavy tails and copulas. Topics in dependence modelling in economics and finance
• Volatility filtering in estimation of kurtosis (and variance)
• Modulating bifurcations in a self-sustained birhythmic system by \(\alpha\)-stable Lévy noise and time delay
• On a heavy-tailed distribution and the stability of an equilibrium in a distributed delay symmetric network
• Alternative skew Laplace scale mixtures for modeling data exhibiting high-peaked and heavy-tailed traits

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