RUSSIAN: CONCILIARITY,UNITY, BROTHERHOOD
In: Gumanitarij juga Rossii: Humanities of the south of Russia, Band 11, Heft 6, S. 221-240
ISSN: 2500-2155
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In: Gumanitarij juga Rossii: Humanities of the south of Russia, Band 11, Heft 6, S. 221-240
ISSN: 2500-2155
In: NBER Working Paper No. t0342
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"This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of today's research in economics, finance, econometrics and other fields — in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions — all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence."--Publisher's website
In: Russia in global affairs, Band 4, Heft 1, S. 80-93
ISSN: 1810-6374
World Affairs Online
In: Lecture Notes in Statistics 214
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
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