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Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance - Rilegato

Ibragimov, Rustam; Prokhorov, Artem

 
9789814689793: Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance
Rilegato
ISBN 10: 9814689793 ISBN 13: 9789814689793
Casa editrice: World Scientific Pub Co Inc, 2017

Sinossi

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.

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Recensione

Overall, the book is highly technical, including full mathematical proofs of the results stated. Potential readers are post-graduate students or researchers in Quantitative Risk Management willing to have a manual with the state-of-the-art on portfolio diversification and risk aggregation with heavy tails, including the fundamental theorems as well as collateral (but most useful) results on majorization and copula theory. --Quantitative Finance

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Editore
World Scientific Pub Co Inc
Data di pubblicazione
2017
Lingua
Inglese
ISBN 10 
9814689793
ISBN 13 
9789814689793
Rilegatura
Copertina rigida
Numero di pagine
304
Contatto del produttore
non disponibile
Persona responsabile
GPSR Kontakt
gpsr@libri.de

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