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Heavy-Tailed Distributions and Robustness in Economics and Finance
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 implication...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing : Imprint: Springer,
2015.
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| Edición: | 1st ed. 2015. |
| Colección: | Lecture Notes in Statistics,
214 |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 245 | 1 | 0 | |a Heavy-Tailed Distributions and Robustness in Economics and Finance |h [electronic resource] / |c by Marat Ibragimov, Rustam Ibragimov, Johan Walden. |
| 250 | |a 1st ed. 2015. | ||
| 264 | 1 | |a Cham : |b Springer International Publishing : |b Imprint: Springer, |c 2015. | |
| 300 | |a XIV, 119 p. 9 illus. |b online resource. | ||
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| 490 | 1 | |a Lecture Notes in Statistics, |x 2197-7186 ; |v 214 | |
| 505 | 0 | |a Introduction -- Implications of Heavy-tailed ness -- Inference and Empirical Examples -- Conclusion. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Statistics . | |
| 650 | 0 | |a Econometrics. | |
| 650 | 1 | 4 | |a Statistics in Business, Management, Economics, Finance, Insurance. |
| 650 | 2 | 4 | |a Statistical Theory and Methods. |
| 650 | 2 | 4 | |a Econometrics. |
| 700 | 1 | |a Ibragimov, Rustam. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 700 | 1 | |a Walden, Johan. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
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| 830 | 0 | |a Lecture Notes in Statistics, |x 2197-7186 ; |v 214 | |
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