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Details about Rustam Ibragimov

Homepage:http://pantheon.yale.edu/~ri23
Workplace:Economics Department, Yale University, (more information at EDIRC)

Access statistics for papers by Rustam Ibragimov.

Last updated 2007-07-25. Update your information in the RePEc Author Service.

Short-id: pib6


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Working Papers

2007

  1. Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (91)

2006

  1. 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 Downloads View citations (16)
  2. Portfolio Diversification Under Local, Moderate and Global Deviations From Power Laws
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (6)
  3. Sign Tests for Dependent Observations
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads
  4. The Limits of Diversification When Losses May Be Large
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (22)

2005

  1. A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (2)
  2. Copula-Based Dependence Characterizations and Modeling for Time Series
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (6)
  3. Demand-Driven Innovation and Spatial Competition Over Time Under Heavy-Tailed Signals
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (1)
  4. On Efficiency of Linear Estimators Under Heavy-Tailedness
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (5)
  5. Optimal Bundling Strategies For Complements And Substitutes With Heavy-Tailed Valuations
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (1)
  6. Portfolio Diversification and Value at Risk Under Thick-Tailedness
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (9)
  7. Randomized Sign Test for Dependent Observations on Discrete Choice under Risk
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  8. Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)

2004

  1. Regression Asymptotics Using Martingale Convergence Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
  2. Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads View citations (4)

Journal Articles

2017

  1. Extreme movements of the Russian stock market and their consequences for management and economic modeling
    Applied Econometrics, 2017, 45, 75-92 Downloads

2007

  1. Market Demand Elasticity and Income Inequality
    Economic Theory, 2007, 32, (3), 579-587 Downloads View citations (6)

2000

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

1999

  1. Analogues of Khintchine, Marcinkiewicz–Zygmund and Rosenthal Inequalities for Symmetric Statistics
    Scandinavian Journal of Statistics, 1999, 26, (4), 621-633 Downloads View citations (2)
 
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