Heavy-Tailed Distributions and Robustness in Economics and Finance (Lecture Notes in Statistics, #214)

by Marat Ibragimov, Rustam Ibragimov, and Johan Walden

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Book cover for Heavy-Tailed Distributions and Robustness in Economics and Finance

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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.

  • ISBN13 9783319168760
  • Publish Date 9 June 2015 (first published 1 January 2015)
  • Publish Status Active
  • Publish Country CH
  • Imprint Springer International Publishing AG
  • Edition 2015 ed.
  • Format Paperback
  • Pages 119
  • Language English