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Copula-based characterizations for higher order Markov processes
Ibragimov, Rustam Ju. - In: Econometric theory 25 (2009) 3, pp. 819-846
Persistent link: https://www.econbiz.de/10003864192
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The “Cubic Law of the Stock Returns” in emerging markets
Gu, Zhiye; Ibragimov, Rustam Ju. - In: Journal of empirical finance 46 (2018), pp. 182-190
Persistent link: https://www.econbiz.de/10012103444
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Heavy tails and copulas : limits of diversification revisited
Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107
Persistent link: https://www.econbiz.de/10011620157
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Heavy tails and asymmetry of returns in the Russian stock market
Ankudinov, Andrej B.; Ibragimov, Rustam Ju.; Lebedev, … - In: Emerging markets review 32 (2017), pp. 200-219
Persistent link: https://www.econbiz.de/10011803274
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Sanctions and the Russian stock market
Ankudinov, Andrej B.; Ibragimov, Rustam Ju.; Lebedev, … - In: Research in international business and finance 40 (2017), pp. 150-162
Persistent link: https://www.econbiz.de/10011912756
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t-statistic based correlation and heterogeneity robust inference
Ibragimov, Rustam Ju.; Müller, Ulrich K. - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 453-468
Persistent link: https://www.econbiz.de/10008736161
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Value at risk and efficiency under dependence and heavy-tailedness : models with common shocks
Ibragimov, Rustam Ju.; Walden, Johan - In: Annals of finance 7 (2011) 3, pp. 285-318
Persistent link: https://www.econbiz.de/10009248124
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Portfolio diversification under local, moderate and global deviations from power laws
Ibragimov, Rustam (contributor); Walden, Johan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003304435
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The limits of diversification when losses may be large
Ibragimov, Rustam (contributor); Walden, Johan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003270224
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Regression asymptotics using martingale convergence methods
Ibragimov, Rustam Ju.; Phillips, Peter C. B. - In: Econometric theory 24 (2008) 4, pp. 888-947
Persistent link: https://www.econbiz.de/10003736839