Heavy Tails And Copulas Topics In Dependence Modelling In Economics And Finance is popular PDF and ePub book, written by Rustam Ibragimov in 2017-02-24, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Heavy Tails And Copulas Topics In Dependence Modelling In Economics And Finance can be Read Online from any device for your convenience.
Heavy Tails And Copulas Topics In Dependence Modelling In Economics And Finance Book PDF Summary
'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 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.
Detail Book of Heavy Tails And Copulas Topics In Dependence Modelling In Economics And Finance PDF
- Author : Rustam Ibragimov
- Release : 24 February 2017
- Publisher : World Scientific
- ISBN : 9789814689816
- Genre : Business & Economics
- Total Page : 303 pages
- Language : English
- PDF File Size : 18,8 Mb
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