Abstract
The talk will focus on several modern approaches to modeling dependence, crises, large fluctuations and heavy-tailedness in econometrics, statistics, economics and finance and discuss their applications. We will present several results on the effects of the interplay between heavy-tailedness and dependence on (non-)robustness of key models in economics and finance, focusing, in particular, on the important problem of diversification (sub-)optimality. The results provide further motivation for development and applications of econometric and statistical inference procedures that are robust to heterogeneity, dependence and heavy-tailedness; and the talk will discuss some of recent new developments in this direction. We will further discuss several recently developed approaches to the analysis of copula structures and their properties, including copula-based time series models such as higher-order Markov processes and U-statistics characterizations of joint cdf’s, copulas and dependence frameworks.
[PDF] Slides of the presentation.
[PDF] Related article: R. Ibragimov: Heavy-tailed densities. The New Palgrave Dictionary of Economics Online, 2009.