Details about Rustam Ibragimov

Access statistics for papers by Rustam Ibragimov.

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Short-id: pib6

Working Papers

2025

1. Artificial Intelligence–Based Forecasting of Oil Prices: Evidence from Neural Network Models
   EconStor Preprints, ZBW - Leibniz Information Centre for Economics
2. Robust Cauchy-Based Methods for Predictive Regressions
   Papers, arXiv.org

2023

3. New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence
   Papers, arXiv.org View citations (1)
4. New robust inference for predictive regressions
   Papers, arXiv.org View citations (3)
   See also Journal Article NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS, Econometric Theory, Cambridge University Press (2024) View citations (1) (2024)

2021

5. COVID-19: Tail Risk and Predictive Regressions
   Papers, arXiv.org
   See also Journal Article COVID-19: Tail risk and predictive regressions, PLOS ONE, Public Library of Science (2022) (2022)
6. Robust Inference on Income Inequality: $t$-Statistic Based Approaches
   Papers, arXiv.org View citations (1)

2015

7. Fat tails and copulas: limits of diversification revisited
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (2)

2012

8. Robust Analysis of Income Inequality Dynamics in Russia: t-Statistic Based Approaches
   wiiw Balkan Observatory Working Papers, The Vienna Institute for International Economic Studies, wiiw View citations (2)

2010

9. Measuring Inequality in CIS Countries: Theory and Empirics
   wiiw Balkan Observatory Working Papers, The Vienna Institute for International Economic Studies, wiiw View citations (3)

2008

10. A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory
    Scholarly Articles, Harvard University Department of Economics
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (2)
    See also Journal Article A tale of two tails: peakedness properties in inheritance models of evolutionary theory, Journal of Evolutionary Economics, Springer (2008) (2008)
11. Heavy-tailedness and Threshold Sex Determination
    Scholarly Articles, Harvard University Department of Economics View citations (1)
    See also Journal Article Heavy-tailedness and threshold sex determination, Statistics & Probability Letters, Elsevier (2008) View citations (1) (2008)
12. Optimal Constants in the Rosenthal Inequality for Random Variables with Zero Odd Moments
    Scholarly Articles, Harvard University Department of Economics
    See also Journal Article Optimal constants in the Rosenthal inequality for random variables with zero odd moments, Statistics & Probability Letters, Elsevier (2008) (2008)
13. Portfolio Diversification under Local and Moderate Deviations from Power Laws
    Scholarly Articles, Harvard University Department of Economics View citations (12)
    See also Journal Article Portfolio diversification under local and moderate deviations from power laws, Insurance: Mathematics and Economics, Elsevier (2008) View citations (12) (2008)
14. Regression asymptotics using martingale convergence methods
    Scholarly Articles, Harvard University Department of Economics View citations (30)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) View citations (9)
    See also Journal Article REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS, Econometric Theory, Cambridge University Press (2008) View citations (32) (2008)

2007

15. Efficiency of linear estimators under heavy-tailedness: convolutions of [alpha]-symmetric distributions
    Scholarly Articles, Harvard University Department of Economics View citations (10)
16. Market Demand Elasticity and Income Inequality
    Scholarly Articles, Harvard University Department of Economics View citations (6)
    See also Journal Article Market Demand Elasticity and Income Inequality, Economic Theory, Springer (2007) View citations (6) (2007)
17. Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (92)
    See also Journal Article Rank - 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (378) (2011)
18. The limits of diversification when losses may be large
    Scholarly Articles, Harvard University Department of Economics View citations (81)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2006) View citations (24)
    See also Journal Article The limits of diversification when losses may be large, Journal of Banking & Finance, Elsevier (2007) View citations (78) (2007)
19. Thou shalt not diversity: Why "Two of Every Sort"?
    Scholarly Articles, Harvard University Department of Economics View citations (1)

2006

20. Log(Rank-1/2): A Simple Way to Improve the OLS Estimation of Tail Exponents
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (18)
21. Portfolio Diversification Under Local, Moderate and Global Deviations From Power Laws
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (6)
22. Sign Tests for Dependent Observations
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research
    See also Journal Article Sign tests for dependent observations, Econometrics and Statistics, Elsevier (2019) View citations (1) (2019)

2005

23. Copula-Based Dependence Characterizations and Modeling for Time Series
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (8)
24. Demand-Driven Innovation and Spatial Competition Over Time Under Heavy-Tailed Signals
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (1)
25. On Efficiency of Linear Estimators Under Heavy-Tailedness
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (7)
26. Optimal Bundling Strategies For Complements And Substitutes With Heavy-Tailed Valuations
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (1)
27. Portfolio Diversification and Value At Risk Under Thick-Tailedness
    Yale School of Management Working Papers, Yale School of Management
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (12)
    See also Journal Article Portfolio diversification and value at risk under thick-tailedness, Quantitative Finance, Taylor & Francis Journals (2009) View citations (40) (2009)
28. Randomized Sign Test for Dependent Observations on Discrete Choice under Risk
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
29. Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
    Yale School of Management Working Papers, Yale School of Management
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2005) View citations (2)

2004

30. Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions
    Econometric Society 2004 Latin American Meetings, Econometric Society View citations (4)

2003

31. On Extremal Distributions and Sharp L[sub]p-Bounds For Sums of Multilinear Forms
    Scholarly Articles, Harvard University Department of Economics View citations (1)

2002

32. The exact constant in the Rosenthal inequality for random variables with mean zero
    Scholarly Articles, Harvard University Department of Economics View citations (3)

Journal Articles

2026

1. The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics
   Insurance: Mathematics and Economics, 2026, 126, (C)

2025

2. Robust inference on income inequality: t-statistic based approach
   Econometric Reviews, 2025, 44, (4), 384-415

2024

3. Cryptocurrency Exchange Simulation
   Computational Economics, 2024, 64, (5), 2585-2603
4. NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS
   Econometric Theory, 2024, 40, (6), 1364-1390 View citations (1)
   See also Working Paper New robust inference for predictive regressions, Papers (2023) View citations (3) (2023)
5. New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence†
   Journal of Financial Econometrics, 2024, 22, (4), 1075-1097

2022

6. COVID-19: Tail risk and predictive regressions
   PLOS ONE, 2022, 17, (12), 1-13
   See also Working Paper COVID-19: Tail Risk and Predictive Regressions, Papers (2021) (2021)
7. Equity returns and sentiment
   Dependence Modeling, 2022, 10, (1), 159-176
8. Predictability of cryptocurrency returns: evidence from robust tests
   Dependence Modeling, 2022, 10, (1), 191-206

2019

9. One country, two systems? The heavy-tailedness of Chinese A- and H- share markets
   Emerging Markets Review, 2019, 38, (C), 115-141 View citations (8)
10. Sign tests for dependent observations
    Econometrics and Statistics, 2019, 10, (C), 1-8 View citations (1)
    See also Working Paper Sign Tests for Dependent Observations, Harvard Institute of Economic Research Working Papers (2006) (2006)

2018

11. Equilibrium with Monoline and Multiline Structures*
    (Uncertainty and the welfare economics of medical care)
    Review of Finance, 2018, 22, (2), 595-632
12. Heavy tails and upper-tail inequality: The case of Russia
    Empirical Economics, 2018, 54, (2), 823-837 View citations (13)
13. Income inequality and price elasticity of market demand: the case of crossing Lorenz curves
    Economic Theory, 2018, 65, (3), 729-750 View citations (2)
14. The “Cubic Law of the Stock Returns” in emerging markets
    Journal of Empirical Finance, 2018, 46, (C), 182-190 View citations (4)

2017

15. Extreme movements of the Russian stock market and their consequences for management and economic modeling
    Applied Econometrics, 2017, 45, 75-92 View citations (1)
16. Heavy tails and asymmetry of returns in the Russian stock market
    Emerging Markets Review, 2017, 32, (C), 200-219 View citations (9)
17. Sanctions and the Russian stock market
    Research in International Business and Finance, 2017, 40, (C), 150-162 View citations (18)
18. Unemployment and output dynamics in CIS countries: Okun’s law revisited
    Applied Economics, 2017, 49, (34), 3453-3479 View citations (9)

2016

19. Heavy tails and copulas: Limits of diversification revisited
    Economics Letters, 2016, 149, (C), 102-107 View citations (10)
20. Inference with Few Heterogeneous Clusters
    The Review of Economics and Statistics, 2016, 98, (1), 83-96 View citations (57)

2015

21. Bounds for path-dependent options
    Annals of Finance, 2015, 11, (3), 433-451 View citations (1)

2014

22. On the robustness of location estimators in models of firm growth under heavy-tailedness
    Journal of Econometrics, 2014, 181, (1), 25-33 View citations (1)

2013

23. Emerging markets and heavy tails
    Journal of Banking & Finance, 2013, 37, (7), 2546-2559 View citations (35)

2011

24. Diversification disasters
    Journal of Financial Economics, 2011, 99, (2), 333-348 View citations (124)
25. Rank - 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents
    Journal of Business & Economic Statistics, 2011, 29, (1), 24-39 View citations (378)
    See also Working Paper Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents, NBER Technical Working Papers (2007) View citations (92) (2007)
26. Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents
    Journal of Business & Economic Statistics, 2011, 29, (1), 24-39 View citations (183)
27. Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
    Annals of Finance, 2011, 7, (3), 285-318 View citations (3)

2010

28. Optimal Bundling Strategies Under Heavy-Tailed Valuations
    Management Science, 2010, 56, (11), 1963-1976 View citations (16)
29. Pricing and Capital Allocation for Multiline Insurance Firms
    Journal of Risk & Insurance, 2010, 77, (3), 551-578 View citations (13)
30. t-Statistic Based Correlation and Heterogeneity Robust Inference
    Journal of Business & Economic Statistics, 2010, 28, (4), 453-468 View citations (117)

2009

31. COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
    Econometric Theory, 2009, 25, (3), 819-846 View citations (43)
32. Nondiversification Traps in Catastrophe Insurance Markets
    The Review of Financial Studies, 2009, 22, (3), 959-993 View citations (38)
    Also in The Review of Financial Studies, 2009, 22, (3), 959-993 (2009) View citations (33)
33. Portfolio diversification and value at risk under thick-tailedness
    Quantitative Finance, 2009, 9, (5), 565-580 View citations (40)
    See also Working Paper Portfolio Diversification and Value At Risk Under Thick-Tailedness, Yale School of Management Working Papers (2005) (2005)

2008

34. A tale of two tails: peakedness properties in inheritance models of evolutionary theory
    Journal of Evolutionary Economics, 2008, 18, (5), 597-613
    See also Working Paper A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory, Scholarly Articles (2008) (2008)
35. Heavy-tailedness and threshold sex determination
    Statistics & Probability Letters, 2008, 78, (16), 2804-2810 View citations (1)
    See also Working Paper Heavy-tailedness and Threshold Sex Determination, Scholarly Articles (2008) View citations (1) (2008)
36. Optimal constants in the Rosenthal inequality for random variables with zero odd moments
    Statistics & Probability Letters, 2008, 78, (2), 186-189
    See also Working Paper Optimal Constants in the Rosenthal Inequality for Random Variables with Zero Odd Moments, Scholarly Articles (2008) (2008)
37. Portfolio diversification under local and moderate deviations from power laws
    Insurance: Mathematics and Economics, 2008, 42, (2), 594-599 View citations (12)
    See also Working Paper Portfolio Diversification under Local and Moderate Deviations from Power Laws, Scholarly Articles (2008) View citations (12) (2008)
38. REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
    Econometric Theory, 2008, 24, (4), 888-947 View citations (32)
    See also Working Paper Regression asymptotics using martingale convergence methods, Scholarly Articles (2008) View citations (30) (2008)

2007

39. EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF α-SYMMETRIC DISTRIBUTIONS
    Econometric Theory, 2007, 23, (3), 501-517 View citations (10)
40. Market Demand Elasticity and Income Inequality
    Economic Theory, 2007, 32, (3), 579-587 View citations (6)
    See also Working Paper Market Demand Elasticity and Income Inequality, Scholarly Articles (2007) View citations (6) (2007)
41. The limits of diversification when losses may be large
    Journal of Banking & Finance, 2007, 31, (8), 2551-2569 View citations (78)
    See also Working Paper The limits of diversification when losses may be large, Scholarly Articles (2007) View citations (81) (2007)

2002

42. A Characterization of Joint Distribution of Two-Valued Random Variables and Its Applications
    Journal of Multivariate Analysis, 2002, 83, (2), 389-408 View citations (14)

2001

43. Exact Estimates for Moments of Random Bilinear Forms
    Journal of Theoretical Probability, 2001, 14, (1), 21-37
44. The best constant in the Rosenthal inequality for nonnegative random variables
    Statistics & Probability Letters, 2001, 55, (4), 367-376 View citations (5)

2000

45. A method of calculating the spectral radius of a nonnegative matrix and its applications
    Economic Theory, 2001, 17, (2), 467-480 View citations (1)

1999

46. Analogues of Khintchine, Marcinkiewicz–Zygmund and Rosenthal Inequalities for Symmetric Statistics
    Scandinavian Journal of Statistics, 1999, 26, (4), 621-633 View citations (5)

Books

2017

1. Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (13)

Chapters

2023

1. A Market Crash or Tail Risk? Heavy Tails and Asymmetry of Returns in the Chinese Stock Market
   A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 181-205

2017

2. Copula Tests Using Information Matrix
   Chapter 6 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 229-255
3. From Independence to Dependence via Copulas and U-statistics
   Chapter 3 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 47-111
4. Introduction and Overview
   Chapter 1 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 1-17
5. Limits of Diversification under Fat Tails and Dependence
   Chapter 4 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 113-170
6. Portfolio Diversification under Independent Fat Tailed Risks
   Chapter 2 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 19-45
7. Robustness of Econometric Methods to Copula Misspecification and Heavy Tails
   Chapter 5 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 171-228
8. Summary and Conclusion
   Chapter 7 in Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, 2017, pp 257-260