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COPULA-BASED CHARACTERIZATIONS...
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Ibragimov, Rustam
9
Ibragimov, Rustam Ju.
7
Walden, Johan
5
Müller, Ulrich K.
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Lentzas, George
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ECONIS (ZBW)
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1
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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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
The limits of diversification when losses may be large
Ibragimov, Rustam
(
contributor
);
Walden, Johan
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003270224
Saved in:
7
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
Saved in:
8
Value at risk under dependence and heavy tariledness : models with comon shocks
Ibragimov, Rustam Ju.
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003712614
Saved in:
9
T-statistic based correlation and heterogeneity robust inference
Ibragimov, Rustam
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003480434
Saved in:
10
The limits of diversification when losses may be large
Ibragimov, Rustam
;
Walden, Johan
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2551-2569
Persistent link: https://www.econbiz.de/10003522982
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