Heavy-Tailed Distributions and Robustness in Economics and Finance [[electronic resource] /] / by Marat Ibragimov, Rustam Ibragimov, Johan Walden

• Autore: Ibragimov Marat
• Pubblicazione: Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015
• Edizione: 1st ed. 2015.
• Descrizione fisica: 1 online resource (131 p.)
• Disciplina: 519.24
• Soggetto topico: Statistics ; Econometrics; Statistics for Business, Management, Economics, Finance, Insurance; Statistical Theory and Methods
• Persona (resp. second.): IbragimovRustam; WaldenJohan
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Introduction -- Implications of Heavy-tailed ness -- Inference and Empirical Examples -- Conclusion.
• Sommario/riassunto: 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-tailedness. 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.
• Titolo autorizzato: Heavy-Tailed Distributions and Robustness in Economics and Finance
• ISBN: 3-319-16876-2; 3-319-16877-0
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910299768803321
• Lo trovi qui: Univ. Federico II
• Serie: Lecture Notes in Statistics, . 0930-0325 ; ; 214