Heavy-Tailed Distributions and Robustness in Economics and Finance

• Main Authors: Ibragimov, Marat (Author), Ibragimov, Rustam (Author), Walden, Johan (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Series: Lecture Notes in Statistics, 214
• Subjects: Statistics.; Econometrics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Statistical Theory and Methods.

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 implication...