Heavy tails and copulas: topics in dependence modelling in economics and finance
"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 o...
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Singapore
World Scientific Publishing Co. Pte Ltd.
c2017
|
Schlagworte: | |
Online-Zugang: | FHN01 Volltext |
Zusammenfassung: | "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."--Publisher's website |
Beschreibung: | Title from PDF file title page (viewed March 17, 2017) |
Beschreibung: | 1 online resource (303 p.) ill |
ISBN: | 9789814689809 |
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Datensatz im Suchindex
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author | Ibragimov, Rustam |
author_facet | Ibragimov, Rustam |
author_role | aut |
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author_variant | r i ri |
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dewey-ones | 330 - Economics |
dewey-raw | 330.015195 |
dewey-search | 330.015195 |
dewey-sort | 3330.015195 |
dewey-tens | 330 - Economics |
discipline | Wirtschaftswissenschaften |
format | Electronic eBook |
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illustrated | Not Illustrated |
indexdate | 2024-07-10T07:57:58Z |
institution | BVB |
isbn | 9789814689809 |
language | English |
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physical | 1 online resource (303 p.) ill |
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spelling | Ibragimov, Rustam Verfasser aut Heavy tails and copulas topics in dependence modelling in economics and finance Rustam Ibragimov, Artem Prokhorov Singapore World Scientific Publishing Co. Pte Ltd. c2017 1 online resource (303 p.) ill txt rdacontent c rdamedia cr rdacarrier Title from PDF file title page (viewed March 17, 2017) "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."--Publisher's website Finance / Statistical methods Economics / Statistical methods Econometrics Electronic books Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Heavy-tailed Verteilung (DE-588)4747317-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Statistik (DE-588)4056995-0 s Heavy-tailed Verteilung (DE-588)4747317-4 s Kopula Mathematik (DE-588)4529954-7 s 1\p DE-604 Prokhorov, Artem Sonstige oth http://www.worldscientific.com/worldscibooks/10.1142/9644#t=toc Verlag URL des Erstveroeffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
spellingShingle | Ibragimov, Rustam Heavy tails and copulas topics in dependence modelling in economics and finance Finance / Statistical methods Economics / Statistical methods Econometrics Electronic books Kopula Mathematik (DE-588)4529954-7 gnd Statistik (DE-588)4056995-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Heavy-tailed Verteilung (DE-588)4747317-4 gnd |
subject_GND | (DE-588)4529954-7 (DE-588)4056995-0 (DE-588)4017195-4 (DE-588)4747317-4 |
title | Heavy tails and copulas topics in dependence modelling in economics and finance |
title_auth | Heavy tails and copulas topics in dependence modelling in economics and finance |
title_exact_search | Heavy tails and copulas topics in dependence modelling in economics and finance |
title_full | Heavy tails and copulas topics in dependence modelling in economics and finance Rustam Ibragimov, Artem Prokhorov |
title_fullStr | Heavy tails and copulas topics in dependence modelling in economics and finance Rustam Ibragimov, Artem Prokhorov |
title_full_unstemmed | Heavy tails and copulas topics in dependence modelling in economics and finance Rustam Ibragimov, Artem Prokhorov |
title_short | Heavy tails and copulas |
title_sort | heavy tails and copulas topics in dependence modelling in economics and finance |
title_sub | topics in dependence modelling in economics and finance |
topic | Finance / Statistical methods Economics / Statistical methods Econometrics Electronic books Kopula Mathematik (DE-588)4529954-7 gnd Statistik (DE-588)4056995-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Heavy-tailed Verteilung (DE-588)4747317-4 gnd |
topic_facet | Finance / Statistical methods Economics / Statistical methods Econometrics Electronic books Kopula Mathematik Statistik Finanzmathematik Heavy-tailed Verteilung |
url | http://www.worldscientific.com/worldscibooks/10.1142/9644#t=toc |
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