Overview
Books and Recent Papers:
“Heavy-tailed distributions and robustness in economics and finance” (with M. Ibragimov and J. Walden), Lecture Notes in Statistics 214, Springer, 2015, http://www.springer.com/us/book/9783319168760
“Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance” (with A. Prokhorov), World Scientific, Forthcoming 2016, http://www.worldscientific.com/worldscibooks/10.1142/9644
“Inference with Few Heterogeneous Clusters” (with U. K. Müller). Review of Economics and Statistics 98 (2016), 83-96.
“On the robustness of location estimators in models of firm growth under heavy-tailedness”. Journal of Econometrics 181 (2014), 25-33.
“Bounds for path-dependent options” (with Donald Brown and Johan Walden), Annals of Finance 11 (2015), 433-451.