Marat Ibragimov,
Rustam Ibragimov,
Johan Walden
Heavy-Tailed Distributions and Robustness in Economics and Finance
Paperback Engels 2015 9783319168760Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9783319168760
Taal:Engels
Bindwijze:paperback
Aantal pagina's:190
Uitgever:Springer International Publishing
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Inhoudsopgave
<p>Introduction.- Implications of Heavy-tailed ness.- Inference and Empirical Examples.- Conclusion.</p>
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