Heavy-Tailed Distributions and Robu - E-book

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Heavy-tailed Distributions And Robustness In Economics And Finance - ENG

Marat Ibragimov; Rustam Ibragimov; Johan Walden

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Sinopsis

ISBN:	9783319168777
Formato:	Page Fidelity
Idioma:	Inglés
Editorial:	Springer Nature
Tema:	Negocios y economía
Subtema:	Estadística
Año de publicación:	2015-05-23

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.

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