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Heavy Tails And Copulas

  • Description
  • About the Authors
  • 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.

  • Rustam Ibragimov is a Professor of Finance and Econometrics at the Imperial College Business School. Rustam received his PhD in Economics from Yale University in 2005. He also holds a PhD degree in Mathematics from the Uzbek Academy of Sciences. Following his graduation from Yale and prior to joining Imperial College, Rustam was an Assistant Professor (2005–2009) and then an Associate Professor (2009–2012) at Harvard's Economics Department.

    Artem Prokhorov is an Associate Professor at the University of Sydney Business School and an Adjunct Professor at St. Petersburg State University. Artem received his PhD in Economics from Michigan State University in 2006 and before joining the University of Sydney had worked as an Assistant Professor (2006–2011) and Associate Professor with tenure (2011–2013) at the Economics Department of Concordia University in Montreal, Canada, as well as a Research Associate at a German investment bank. 

ISBN: 9789814689793
Cover Type: Hardcover
Page Count: 304
Year Published: 2017