Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance

Rustam Ibragimov and Artem Prokhorov
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Rustam Ibragimov: Imperial College London, UK

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: "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."

Keywords: Heavy-Tailed Distribution; Copulas; Tail Dependence; Majorization Theory; Financial Contagion; Crises (search for similar items in EconPapers)
Date: 2017
ISBN: 9789814689793
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Citations: View citations in EconPapers (13)

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https://www.worldscientific.com/worldscibooks/10.1142/9644 (text/html)
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Chapters in this book:

Ch 1 Introduction and Overview , pp 1-17

Rustam Ibragimov and Artem Prokhorov

Ch 2 Portfolio Diversification under Independent Fat Tailed Risks , pp 19-45

Rustam Ibragimov and Artem Prokhorov

Ch 3 From Independence to Dependence via Copulas and U-statistics , pp 47-111

Rustam Ibragimov and Artem Prokhorov

Ch 4 Limits of Diversification under Fat Tails and Dependence , pp 113-170

Rustam Ibragimov and Artem Prokhorov

Ch 5 Robustness of Econometric Methods to Copula Misspecification and Heavy Tails , pp 171-228

Rustam Ibragimov and Artem Prokhorov

Ch 6 Copula Tests Using Information Matrix , pp 229-255

Rustam Ibragimov and Artem Prokhorov

Ch 7 Summary and Conclusion , pp 257-260

Rustam Ibragimov and Artem Prokhorov

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