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

Publication Type
Year
to

54 results found

Gu Z, Ibragimov R, 2018, The "Cubic Law of the Stock Returns" in emerging markets, JOURNAL OF EMPIRICAL FINANCE, Vol: 46, Pages: 182-190, ISSN: 0927-5398

JOURNAL ARTICLE

Ibragimov M, Ibragimov R, 2018, Heavy tails and upper-tail inequality: The case of Russia, EMPIRICAL ECONOMICS, Vol: 54, Pages: 823-837, ISSN: 0377-7332

JOURNAL ARTICLE

Ibragimov M, Ibragimov R, Kattuman P, Ma Jet al., 2018, Income inequality and price elasticity of market demand: the case of crossing Lorenz curves, ECONOMIC THEORY, Vol: 65, Pages: 729-750, ISSN: 0938-2259

JOURNAL ARTICLE

Ibragimov R, Jaffee D, Walden J, 2018, Equilibrium with Monoline and Multiline Structures, REVIEW OF FINANCE, Vol: 22, Pages: 595-632, ISSN: 1572-3097

JOURNAL ARTICLE

Ankudinov A, Ibragimov R, Lebedev O, 2017, Sanctions and the Russian stock market, RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, Vol: 40, Pages: 150-162, ISSN: 0275-5319

JOURNAL ARTICLE

Ankudinov A, Ibragimov R, Lebedev O, 2017, Heavy tails and asymmetry of returns in the Russian stock market, EMERGING MARKETS REVIEW, Vol: 32, Pages: 200-219, ISSN: 1566-0141

JOURNAL ARTICLE

Ibragimov M, Ibragimov R, 2017, Unemployment and output dynamics in CIS countries: Okun's law revisited, APPLIED ECONOMICS, Vol: 49, Pages: 3453-3479, ISSN: 0003-6846

JOURNAL ARTICLE

Ibragimov R, Prokhorov A, 2017, Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance, Publisher: World Scientific, ISBN: 978-981-4689-79-3

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.

BOOK

Pinelis I, Peña VHDL, Ibragimov R, Shevtsova I, Os╚ękowski AOet al., 2017, Inequalities and Extremal Problems in Probability and Statistics, Publisher: Academic Press, ISBN: 9780128098189

The book enables the reader to grasp the importance of inequalities and how they relate to probability and statistics.

BOOK

Ibragimov R, Mueller UK, 2016, Inference with Few Heterogeneous Clusters, REVIEW OF ECONOMICS AND STATISTICS, Vol: 98, Pages: 83-96, ISSN: 0034-6535

JOURNAL ARTICLE

Ibragimov R, Prokhorov A, 2016, Heavy tails and copulas: Limits of diversification revisited, ECONOMICS LETTERS, Vol: 149, Pages: 102-107, ISSN: 0165-1765

JOURNAL ARTICLE

Brown DJ, Ibragimov R, Walden J, 2015, Bounds for path-dependent options, ANNALS OF FINANCE, Vol: 11, Pages: 433-451, ISSN: 1614-2446

JOURNAL ARTICLE

Ibragimov M, Ibragimov R, Walden J, 2015, Heavy-tailed distributions and robustness in economics and finance, Publisher: Springer, ISBN: 978-3-319-16877-7

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.

BOOK

Ibragimov R, 2014, On the robustness of location estimators in models of firm growth under heavy-tailedness, JOURNAL OF ECONOMETRICS, Vol: 181, Pages: 25-33, ISSN: 0304-4076

JOURNAL ARTICLE

Ibragimov M, Ibragimov R, Kattuman P, 2013, Emerging markets and heavy tails, JOURNAL OF BANKING & FINANCE, Vol: 37, Pages: 2546-2559, ISSN: 0378-4266

JOURNAL ARTICLE

Gabaix X, Ibragimov R, 2011, Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents, JOURNAL OF BUSINESS & ECONOMIC STATISTICS, Vol: 29, Pages: 24-39, ISSN: 0735-0015

JOURNAL ARTICLE

Ibragimov R, 2011, Value at risk under dependence and heavy-tailedness: Models with common shocks, ANNALS OF FINANCE, Pages: 285-318

JOURNAL ARTICLE

Ibragimov R, Jaffee D, Walden J, 2011, Diversification disasters, JOURNAL OF FINANCIAL ECONOMICS, Vol: 99, Pages: 333-348, ISSN: 0304-405X

JOURNAL ARTICLE

Choros B, Ibragimov R, Permiakova E, 2010, Copula estimation, WORKSHOP ON COPULA THEORY AND ITS APPLICATIONS, Editors: Durante, Haerdle, Jaworski, Rychlik, Publisher: Springer, Pages: 77-92

BOOK CHAPTER

Ibragimov M, Ibragimov R, 2010, Measurement of economic progress, INTERNATIONAL ENCYCLOPEDIA OF STATISTICAL SCIENCE, Publisher: Springer

BOOK CHAPTER

Ibragimov M, Ibragimov R, Karimov J, 2010, Uzbekistan population forecast, Bulletin of Tashkent University of Information Technologies

JOURNAL ARTICLE

Ibragimov R, 2010, On functions not preserving majorization pre-ordering and their applications, UZBEK MATHEMATICAL JOURNAL, Pages: 64-71

JOURNAL ARTICLE

Ibragimov R, Jaffee D, Walden J, 2010, Pricing and Capital Allocation for Multiline Insurance Firms, JOURNAL OF RISK AND INSURANCE, Vol: 77, Pages: 551-578, ISSN: 0022-4367

JOURNAL ARTICLE

Ibragimov R, Mueller UK, 2010, t-Statistic Based Correlation and Heterogeneity Robust Inference, JOURNAL OF BUSINESS & ECONOMIC STATISTICS, Vol: 28, Pages: 453-468, ISSN: 0735-0015

JOURNAL ARTICLE

Ibragimov R, Walden J, 2010, Optimal Bundling Strategies Under Heavy-Tailed Valuations, MANAGEMENT SCIENCE, Vol: 56, Pages: 1963-1976, ISSN: 0025-1909

JOURNAL ARTICLE

Anoshkina V, Davidova Z, Ibragimov M, Ibragimov Ret al., 2009, Labor market equilibrium and income tax rates: The case of Uzbekistan, Tax Policy and Practice (Moscow, Russia)

JOURNAL ARTICLE

Ibragimov R, 2009, COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES, ECONOMETRIC THEORY, Vol: 25, Pages: 819-846, ISSN: 0266-4666

JOURNAL ARTICLE

Ibragimov R, 2009, Portfolio diversification and value at risk under thick-tailedness, QUANTITATIVE FINANCE, Vol: 9, Pages: 565-580, ISSN: 1469-7688

JOURNAL ARTICLE

Ibragimov R, 2009, Heavy-tailed densities, The New Palgrave Dictionary of Economics Online, Publisher: Palgrave Macmillan

BOOK CHAPTER

Ibragimov R, 2009, Heavy-tailed densities, THE NEW PALGRAVE DICTIONARY OF ECONOMICS ONLINE, Editors: Durlauf, Blume, Publisher: Palgrave Macmillan

BOOK CHAPTER

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