Heavy-tailed distributions and robustness in economics and finance
DOI10.1007/978-3-319-16877-7zbMATH Open1397.62007OpenAlexW1173188441MaRDI QIDQ2350232FDOQ2350232
Johan Walden, Marat Ibragimov, Rustam Ibragimov
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
Recommendations
stable distributionextreme valuesrisklog-concave distributionrobust inferencevalue-at-riskdiversificationrisk measurerisk sharing
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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- A Beran-inspired estimator for the Weibull-type tail coefficient
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- 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
- Bounds for path-dependent options
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- Fitting insurance and economic data with outliers: a flexible approach based on finite mixtures of contaminated gamma distributions
- New robust inference for predictive regressions
- Alternative skew Laplace scale mixtures for modeling data exhibiting high-peaked and heavy-tailed traits
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- CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH
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