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Heavy-Tailed Distributions and Robustness in Economics and Finance (Paperback, 2015 ed.)
Loot Price: R1,807
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Heavy-Tailed Distributions and Robustness in Economics and Finance (Paperback, 2015 ed.)
Series: Lecture Notes in Statistics, 214
Expected to ship within 10 - 15 working days
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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-tailed
ness. 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.
General
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