TY - BOOK

T1 - Heavy tails and copulas

T2 - Topics in dependence modelling in economics and finance

AU - Ibragimov, Rustam

AU - Prokhorov, Artem

PY - 2017/2/24

Y1 - 2017/2/24

N2 - 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.

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.

UR - http://www.scopus.com/inward/record.url?scp=84994061488&partnerID=8YFLogxK

U2 - 10.1142/9644

DO - 10.1142/9644

M3 - Book

AN - SCOPUS:84994061488

SN - 9789814689809

BT - Heavy tails and copulas

PB - WORLD SCIENTIFIC PUBL CO PTE LTD

ER -