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＜電子ブック＞
Heavy-Tailed Distributions and Robustness in Economics and Finance / by Marat Ibragimov, Rustam Ibragimov, Johan Walden
(Lecture Notes in Statistics. ISSN:21977186 ; 214)

版	1st ed. 2015.
出版者	(Cham : Springer International Publishing : Imprint: Springer)
出版年	2015
本文言語	英語
大きさ	XIV, 119 p. 9 illus : online resource
著者標目	*Ibragimov, Marat author Ibragimov, Rustam author Walden, Johan author SpringerLink (Online service)
件　名	LCSH:Statistics  LCSH:Econometrics FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Statistical Theory and Methods FREE:Econometrics
一般注記	Introduction -- Implications of Heavy-tailed ness -- Inference and Empirical Examples -- Conclusion 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 implications of a number of models in these fields, depending on the degree of heavy-tailedness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications HTTP:URL=https://doi.org/10.1007/978-3-319-16877-7

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