The Resource Heavy tails and copulas : topics in dependence modelling in economics and finance, Rustam Ibragimov, Artem Prokhorov
Heavy tails and copulas : topics in dependence modelling in economics and finance, Rustam Ibragimov, Artem Prokhorov
Resource Information
The item Heavy tails and copulas : topics in dependence modelling in economics and finance, Rustam Ibragimov, Artem Prokhorov represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Heavy tails and copulas : topics in dependence modelling in economics and finance, Rustam Ibragimov, Artem Prokhorov represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
- Summary
- 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. Readership: Advanced students in economics, finance, financial econometrics; risk managers; actuaries; finance professionals; business analysts; banking regulators; and for those interested in the functioning of modern financial markets and statistical models of financial contagion.--
- Language
- eng
- Extent
- xvii, 284 pages
- Isbn
- 9789814689793
- Label
- Heavy tails and copulas : topics in dependence modelling in economics and finance
- Title
- Heavy tails and copulas
- Title remainder
- topics in dependence modelling in economics and finance
- Statement of responsibility
- Rustam Ibragimov, Artem Prokhorov
- Language
- eng
- Summary
- 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. Readership: Advanced students in economics, finance, financial econometrics; risk managers; actuaries; finance professionals; business analysts; banking regulators; and for those interested in the functioning of modern financial markets and statistical models of financial contagion.--
- Assigning source
- Provided by Publisher
- Cataloging source
- DLC
- http://library.link/vocab/creatorName
- Ibragimov, Rustam
- Illustrations
- illustrations
- Index
- index present
- Literary form
- non fiction
- Nature of contents
- bibliography
- http://library.link/vocab/relatedWorkOrContributorName
- Prokhorov, Artem
- http://library.link/vocab/subjectName
-
- Finance
- Economics
- Econometrics
- Label
- Heavy tails and copulas : topics in dependence modelling in economics and finance, Rustam Ibragimov, Artem Prokhorov
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Control code
- ocn961213819
- Dimensions
- 24 cm
- Extent
- xvii, 284 pages
- Isbn
- 9789814689793
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- System control number
- (OCoLC)961213819
- Label
- Heavy tails and copulas : topics in dependence modelling in economics and finance, Rustam Ibragimov, Artem Prokhorov
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Control code
- ocn961213819
- Dimensions
- 24 cm
- Extent
- xvii, 284 pages
- Isbn
- 9789814689793
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- System control number
- (OCoLC)961213819
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Heavy-tails-and-copulas--topics-in-dependence/WXAksQIYMh4/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Heavy-tails-and-copulas--topics-in-dependence/WXAksQIYMh4/">Heavy tails and copulas : topics in dependence modelling in economics and finance, Rustam Ibragimov, Artem Prokhorov</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
