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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

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
Creator
Contributor
Author
Subject
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
Instantiates
Publication
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
Publication
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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