Imperial College London

ProfessorRustamIbragimov

Business School

Professor of Finance and Econometrics
 
 
 
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Contact

 

+44 (0)20 7594 9344i.rustam Website CV

 
 
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Location

 

40953 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@book{Ibragimov:2017,
author = {Ibragimov, R and Prokhorov, A},
publisher = {World Scientific},
title = {Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance},
url = {http://www.worldscientific.com/worldscibooks/10.1142/9644},
year = {2017}
}

RIS format (EndNote, RefMan)

TY  - BOOK
AB - This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of today's research in economics, finance, econometrics and other fields — in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions — all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.
AU - Ibragimov,R
AU - Prokhorov,A
PB - World Scientific
PY - 2017///
SN - 978-981-4689-79-3
TI - Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance
UR - http://www.worldscientific.com/worldscibooks/10.1142/9644
ER -