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Heavy-Tailed Distributions and Robustness in Economics and Finance

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Heavy-Tailed Distributions and Robustness in Economics and Finance Synopsis

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.

About This Edition

ISBN: 9783319168760
Publication date:
Author: Marat Ibragimov, Rustam Ibragimov, Johan Walden
Publisher: Springer an imprint of Springer International Publishing
Format: Paperback
Pagination: 119 pages
Series: Lecture Notes in Statistics
Genres: Probability and statistics
Econometrics and economic statistics
Economics, Finance, Business and Management