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[PDF] Rank− 1/2: a simple way to improve the OLS estimation of tail exponents

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X Gabaix… - Journal of Business and Economic Statistics, 2011 - ASA
Despite the availability of more sophisticated methods, a popular way to estimate a Pareto
exponent is still to run an OLS regression: log (Rank)= a− b log (Size), and take b as an
estimate of the Pareto exponent. The reason for this popularity is arguably the simplicity ...
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The limits of diversification when losses may be large

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R Ibragimov… - Journal of Banking & Finance, 2007 - Elsevier
Recent results in value at risk analysis show that, for extremely heavy-tailed risks with
unbounded distribution support, diversification may increase value at risk, and that generally
it is difficult to construct an appropriate risk measure for such distributions. We further ...
Cited by 57 - Related articles - All 15 versions

Nondiversification traps in catastrophe insurance markets

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R Ibragimov, D Jaffee… - Review of Financial …, 2009 - Soc Financial Studies
Abstract We develop a model for markets for catastrophic risk. The model explains why
insurance providers may choose not to offer insurance for catastrophic risks and not to
participate in reinsurance markets, even though there is a large enough market capacity to ...
Cited by 49 - Related articles - All 22 versions

[CITATION] New majorization theory in economics and martingale convergence results in econometrics

R Ibragimov - 2005 - en.scientificcommons.org
Dissertation -- Thesis. Generationenbeziehungen / Bioökonomik / Geschlecht / Statistische
Verteilung / Theorie. Martingale / Regression / Unit Root Test / Theorie. Sammlung -- Collection
of articles written by one author. Schätztheorie / Statistische Verteilung / ...
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Regression asymptotics using martingale convergence methods

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R Ibragimov, PCB Phillips… - Econometric …, 2008 - Cambridge Univ Press
© 2008 Cambridge University Press 0266-4666008 $15+ 00 1 ferent rates of convergence
are accommodated in a natural way+ Moreover, the results on multivariate extensions
developed in the paper deliver a unification of the asymptotics for, among many others, ...
Cited by 32 - Related articles - Library Search - BL Direct - All 35 versions

[PDF] On the robustness of economic models to heavy-tailedness assumptions

[PDF] from buba.de
R Ibragimov - Manuscript, Yale University, 2004 - buba.de
ABSTRACT Many economic models have a structure that depends on majorization
phenomena for convolutions of distributions. The present paper develops a unified
approach to the analysis of majorization properties of linear combinations of random ...
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[PDF] t-Statistic Based Correlation and Heterogeneity Robust Inference

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R Ibragimov… - Journal of Business and Economic Statistics, 2010 - ASA
We develop a general approach to robust inference about a scalar parameter of interest
when the data is potentially heterogeneous and correlated in a largely unknown way. The
key ingredient is the following result of Bakirov and Székely (2005) concerning the small ...
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Diversification disasters

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R Ibragimov, D Jaffee… - Journal of financial economics, 2011 - Elsevier
The recent financial crisis has revealed significant externalities and systemic risks that arise
from the interconnectedness of financial intermediaries' risk portfolios. We develop a model
in which the negative externality arises because intermediaries' actions to diversify that ...
Cited by 26 - Related articles - All 12 versions

[BOOK] Portfolio diversification and value at risk under thick-tailedness

[PDF] from harvard.edu
R Ibragimov… - 2005 - papers.ssrn.com
Abstract: We present a unified approach to value at risk analysis under heavy-tailedness
using new majorization theory for linear combinations of thick-tailed random variables that
we develop. Among other results, we show that the stylized fact that portfolio ...
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Copula-based characterizations for higher order Markov processes

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R Ibragimov - Econometric Theory, 2010 - Cambridge Univ Press
In this paper, we obtain characterizations of higher order Markov processes in terms of
copulas corresponding to their finite-dimensional distributions. The results are applied to
establish necessary and sufficient conditions for Markov processes of a given order to ...
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[PDF] Heavy-tailed densities

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R Ibragimov - The New Palgrave Dictionary of Economics …, 2009 - economics.harvard.edu
Abstract This article reviews several frameworks commonly used in modelling heavy-tailed
densities and distributions in economics, finance, risk management, econometrics and
statistics. The results and conclusions discussed in the article indicate that the presence of ...
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EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF a-SYMMETRIC DISTRIBUTIONS

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R Ibragimov, MY An, DWK Andrews… - Econometric …, 2007 - Cambridge Univ Press
This paper focuses on the analysis of efficiency, peakedness, and majorization properties of
linear estimators under heavy-tailedness assumptions+ We demonstrate that peakedness
and majorization properties of log-concavely distributed random samples continue to hold ...
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Portfolio diversification and value at risk under thick-tailedness†

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R Ibragimov - Quantitative Finance, 2009 - Taylor & Francis
This paper focuses on the study of portfolio diversification and value at risk analysis under
heavy-tailedness. We use a notion of diversification based on majorization theory that will be
explained in the text. The paper shows that the stylized fact that portfolio diversification is ...
Cited by 13 - Related articles - All 10 versions

Copulas and long memory

[PDF] from smu.edu.sg
R Ibragimov… - Harvard Institute of Economic Research …, 2008 - papers.ssrn.com
Abstract: This paper focuses on the analysis of long-memory properties of copula-based
time series. We show via simulations that there exist Clayton copula-based stationary
Markov processes that exhibit long memory on the level of copulas. This long memory is ...
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Pricing and capital allocation for multiline insurance firms

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R Ibragimov, D Jaffee… - Journal of Risk and …, 2010 - Wiley Online Library
1. Rustam Ibragimov is in the Department of Economics, Harvard University. Dwight Jaffee
and Johan Walden are in the Haas School of Business, University of California at Berkeley.
The authors can be contacted via e-mail: ribragim@ fas. harvard. edu, jaffee@ haas. ...
Cited by 13 - Related articles - All 18 versions

The limits of diversification when losses may be large

[PDF] from harvard.edu
R Ibragimov… - Harvard Institute of Economic Research …, 2006 - papers.ssrn.com
Abstract: Recent results in value at risk analysis show that, for extremely heavy-tailed risks
with unbounded distribution support, diversification may increase value at risk, and that,
generally, it is difficult to construct an appropriate risk measure for such distributions. We ...
Cited by 8 - Related articles - Library Search - All 12 versions

A tale of two tails: peakedness properties in inheritance models of evolutionary theory

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R Ibragimov - Journal of Evolutionary Economics, 2008 - Springer
Abstract In this paper, we study transmission of traits through generations in multifactorial
inheritance models with sex-and time-dependent heritability. We further analyze the
implications of these models under heavy-tailedness of traits' distributions. Among other ...
Cited by 7 - Related articles - All 14 versions

Market demand elasticity and income inequality

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M Ibragimov… - Economic Theory, 2007 - Springer
Abstract This paper deals with the analysis of the relation between aggregate demand for a
consumption good and the distribution of income across consumers. We obtain sufficient
conditions under which changes in income inequality lead to an increase or decrease in ...
Cited by 5 - Related articles - BL Direct - All 18 versions

Portfolio diversification under local and moderate deviations from power laws

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R Ibragimov… - Insurance: Mathematics and Economics, 2008 - Elsevier
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed
risks. It is shown that diversification of a portfolio of convex functions of heavy-tailed risks
increases the portfolio's riskiness if expectations of these risks are infinite. In contrast, for ...
Cited by 5 - Related articles - All 12 versions

Optimal bundling strategies for complements and substitutes with heavy-tailed valuations

R Ibragimov - Harvard Institute of Economic Research Discussion …, 2005 - papers.ssrn.com
Abstract: We develop a framework that allows one to model the optimal bundling problem of
a multiproduct monopolist providing interrelated goods with an arbitrary degree of
complementarity or substitutability. Characterizations of optimal bundling strategies are ...
Cited by 5 - Related articles - Library Search - All 7 versions

On Efficiencey of Linear Estimators Under Heavy-Tailedness

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R Ibragimov - Harvard Institute of Economic Research Discussion …, 2005 - papers.ssrn.com
Abstract: The present paper develops a new unified approach to the analysis of efficiency,
peakedness and majorization properties of linear estimators. It further studies the robustness
of these properties to heavy-tailedness assumptions. The main results show that ...
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[CITATION] Portfolio diversification and value at risk under thick-tailedness. Harvard Institute of Economic Research Discussion Paper# 2086

R Ibragimov - 2004
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Portfolio diversification under local, moderate and global deviations from power laws

[PDF] from harvard.edu
R Ibragimov… - Harvard Institute of Economic Research …, 2006 - papers.ssrn.com
Abstract: This paper focuses on the analysis of portfolio diversification for a wide class of
nonlinear transformations of heavy-tailed risks. We show that diversification of a portfolio of
nonlinear transformations of thick-tailed risks increases riskiness if expectations of these ...
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[BOOK] Value at Risk Under Dependence and Heavy Tailedness: Models with Common Shocks

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R Ibragimov, J Walden… - 2007 - papers.ssrn.com
Abstract: This paper presents an analysis of diversification and portfolio value at risk for
heavy-tailed dependent risks in models with multiple common shocks. We show that, in the
framework of value at risk comparisons, diversification is optimal for moderately heavy- ...
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[PDF] Optimal bundling strategies under heavy-tailed valuations

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R Ibragimov… - Management Science, 2010 - faculty.haas.berkeley.edu
We show that in the Vickrey auction setting, the buyers prefer separate provision of the
goods to any bundles. We also provide a complete characterization of the optimal bundling
strategies for a monopolist producer, who provides goods for profit-maximizing prices. For ...
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[PDF] Insurance equilibrium with monoline and multiline insurers

[PDF] from escholarship.org
R Ibragimov, DM Jaffee… - 2008 - escholarship.org
Abstract We study a competitive multiline insurance industry, in which insurance companies
with limited liability choose which insurance lines to cover and the amount of capital to hold.
The results are developed under the realistic assumptions that insurers face friction costs ...
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[PDF] Randomized sign tests for dependent observations on discrete choice under risk

[PDF] from 128.36.236.35
A Bracha, J Gray, R Ibragimov, B Nadler… - COWLES …, 2005 - 128.36.236.35
Abstract This paper proposes nonparametric statistical procedures for analyzing discrete
choice models of affective decision making. We make two contributions to the literature on
behavioral economics. Namely, we propose a procedure for eliciting the existence of a ...
Cited by 3 - Related articles - View as HTML - BL Direct - All 13 versions

[PDF] Emerging markets and heavy tails

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M Ibragimov, R Ibragimov… - Harvard university, 2009 - webmeets.com
Abstract Emerging economic, financial and foreign exchange markets are subject to more
extreme external and internal shocks than their developed counter-parts. The higher degree
of volatility suffered by these economies leads to the expectation that heavy-tailedness ...
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[PDF] Modeling and forecasting income tax revenue: the case of Uzbekistan

[PDF] from harvard.edu
M Ibragimov, R Ibragimov… - Income …, 2008 - ws1.ad.economics.harvard.edu
Abstract Income tax revenue crucially depends on the wage distribution across and within
the industries. However, many transition economies present a challenge for a sound
econometric analysis due to data unavailability. The paper presents an approach to ...
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Sign tests for dependent observations and bounds for path-dependent options

[PDF] from yale.edu
R Ibragimov… - Yale ICF Working Paper No. 05-19; …, 2005 - papers.ssrn.com
Abstract: The present paper introduces new sign tests for testing for conditionally symmetric
martingale-difference assumptions as well as for testing that conditional distributions of two
(arbitrary) martingale-difference sequences are the same. Our analysis is based on the ...
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[CITATION] Optimal bundling strategies for complements and substitutes with heavy-tailed distributions

R Ibragimov - Harvard Institute of Economic Research Discussion …, 2005
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[PDF] On the robustness of location estimators in models of firm growth under heavy-tailedness

[PDF] from harvard.edu
R Ibragimov… - 2006 - economics.harvard.edu
ABSTRACT Focusing on the model of demand-driven innovation and spatial competition
over time, we study the effects of the robustness of estimators employed by firms to make
inferences about their markets on the firms' growth patterns. We show that if consumers' ...
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A Tale of Two Tails: Peakedness Properties In Inheritance Models of Evolutionary Theory

[PDF] from harvard.edu
R Ibragimov - Harvard Institute of Economic Research Discussion …, 2005 - papers.ssrn.com
Abstract: In this paper, we study transmission of traits through generations in multifactorial
inheritance models with sex-and time-dependent heritability. We further analyze the
implications of these models under heavy-tailedness of traits' distributions. Among other ...
Cited by 1 - Related articles - Library Search - All 10 versions

Randomized Sign Test for Dependent Observations on Discrete Choice under Risk

D Brown, R Ibragimov, A Bracha… - … Discussion Paper No …, 2005 - papers.ssrn.com
Abstract: This paper proposes nonparametric statistical procedures for analyzing discrete
choice models of affective decision making. We make two contributions to the literature on
behavioral economics. Namely, we propose a procedure for eliciting the existence of a ...
Cited by 1 - Related articles

Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks

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R Ibragimov… - Annals of Finance, 2011 - Springer
Abstract This paper presents an analysis of diversification and portfolio value at risk for
heavy-tailed dependent risks in models with multiple common shocks. We show that, in the
framework of value at risk comparisons, diversification is optimal for moderately heavy- ...
Cited by 1 - Related articles - All 10 versions

Thou Shall not Diversify: Why Two of Every Sort?

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R Ibragimov - Harvard Institute of Economic Research Discussion …, 2006 - papers.ssrn.com
Abstract: The present paper sheds a new light on the notorious question in the evolutionary
biology of why the modern species exhibit only the asexual and binary mating systems, with
the clear dominance of the latter over the former. We present an in-depth study of the ...
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[CITATION] Soviet Legacy. THE NORTH CAUCASUS AND THE FUTURE OF RUSSIAN STATEHOOD

V DEGOYEV, R IBRAGIMOV - Russia in …, 2006 - Obshchestvennyi sovet po vneshnei …

[CITATION] Harvard Institute of Economic Research

X Gabaix… - 2006
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Sign Tests for Dependent Observations and Bounds for Path-Dependent Options

D Brown… - Yale School of Management Working …, 2005 - ideas.repec.org
The present paper introduces new sign tests for testing for conditionally symmetric
martingale-difference assumptions as well as for testing that conditional distributions of two
(arbitrary) martingale-difference sequences are the same. Our analysis is based on the ...
Cached - All 4 versions

[CITATION] The economic policy of Kazakhstan: speeding up reforms

R Ibragimov - Times of Central Asia, The, 2003 - Giorgio Fiacconi, Djoomart Otorbaev
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3rd European Congress of Mathematics Poster sessions

R Ibragimov… - mathematik.uni-bielefeld.de
3rd European Congress of Mathematics Poster sessions ... Best constants in the
Burkholder-Rosenthal-type inequalties for multilinear forms ... Rustam Ibragimov∗, Central Michigan
University. Shaturgun Sharakhmetov, Tashkent State Economics University. Aydin Cecen, ...
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[CITATION] Kazakhstan and Singapore have common interests in information technologies

R Ibragimov - Times of Central Asia, The, 2003 - Giorgio Fiacconi, Djoomart Otorbaev
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[CITATION] Insurance Equilibrium with Monoline and Multiline Structures

R Ibragimov, D Jaffee… - 2010
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[CITATION] Harvard Institute of Economic Research

R Ibragimov… - 2006
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[PDF] INCOME DISTRIBUTION AND MARKET DEMAND: THE CASE OF HETEROGENEOUS PREFERENCES

[PDF] from harvard.edu
M Ibragimov… - ws1.ad.economics.harvard.edu
Abstract In this note, we obtain sufficient conditions under which changes in income
inequality lead to an increase or decrease in the market demand elasticities in the case of
heterogeneous preferences among the consumers. Keywords and phrases: Income ...
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Sign Tests for Dependent Observations

[PDF] from harvard.edu
R Ibragimov… - Harvard Institute of Economic Research …, 2006 - papers.ssrn.com
Abstract: The present paper introduces new sign tests for testing equality of conditional
distributions of two (arbitrary) adapted processes as well as for testing conditionally
symmetric martingale-difference assumptions. Our analysis is based on results that ...
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Regression Asymptotics Using Martingale Convergence Methods

Full text - MIT Libraries
PCB Phillips… - Econometric Theory, 2008 - ink.library.smu.edu.sg
Abstract Weak convergence of partial sums and multilinear forms in independent random
variables and linear processes and their nonlinear analogues to stochastic integrals now
plays a major role in nonstationary time series and has been central to the development of ...
Cached

[CITATION] Financial Intermediary Equilibrium with Monoline and Multiline Structures

R Ibragimov, D Jaffee… - 2009
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Demand-Driven Innovation and Spatial Competition Over Time Under Heavy-Tailed Signals

[PDF] from harvard.edu
R Ibragimov - Harvard Institute of Economic Research Discussion …, 2005 - papers.ssrn.com
Abstract: We study robustness of the model of demand driven innovation and spatial
competition over time with log-concavely distributed signals in Jovanovic and Rob (1987) to
heavy-tailedness assumptions. We demonstrate that implications of the model remain ...
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[PDF] The North Caucasus and the Future of Russian Statehood

[PDF] from isn.ch
V Degoyev… - Russia in Global Affairs, 2006 - se2.isn.ch
Politichesky Class, No, 11/2005. give some of their aspects a speculative and ideological
nature. These have remained unchanged for several years, although real life shows that
many things change spontaneously and without warning. The real objective here is not at ...
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[CITATION] TCO: Kazakh side protecting state interests

R Ibragimov - Times of Central Asia, The, 2002 - Giorgio Fiacconi, Djoomart Otorbaev
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[PDF] Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions

[PDF] from repec.org
R Ibragimov… - Econometric Society 2004 Latin American …, 2004 - repec.org
ABSTRACT The structure of many models in economics depends on majorization properties
of convolutions of distributions. In this paper, we analyze robustness of these properties and
the models based on them to heavy-tailedness assumptions. We show, in particular, that ...
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[PDF] Multiline Insurance with Costly Capital and Limited Liability

[PDF] from berkeley.edu
R Ibragimov, D Jaffee… - 2008 - faculty.haas.berkeley.edu
Abstract We study a competitive multiline insurance industry, in which insurance companies
with limited liability choose which insurance lines to cover and the amount of capital to hold.
Premiums are determined by no-arbitrage option pricing methods. The results are ...
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[PDF] ON ROBUST MEASUREMENT OF RISK, INEQUALITY AND CONCENTRATION

[PDF] from yale.edu
R Ibragimov, P Kattuman… - aida.wss.yale.edu
ABSTRACT Many risk, inequality, poverty and concentration measures are extremely
sensitive to outliers, dependence, heterogeneity and heavy tails. In this paper we focus on
robust measurement of risk, inequality, poverty and concentration under heterogeneity, ...
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[PDF] VALUATION OF NON-TRADED FINANCIAL ASSETS USING MARKOV SWITCHING AMONG MULTIPLE STATES

[PDF] from acadiau.ca
C Mossman… - REVIEWERS–ÉVALUATEURS, 2003 - attila.acadiau.ca
A standard method to price exchange-traded fixed income derivatives is through a
noarbitrage argument based on a replicating portfolio. This method is not applicable to
exotic client-based derivatives, due to liquidity or transaction cost problems with ...
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Measuring Inequality in CIS Countries: Theory and Empirics

M Ibragimov, R Ibragimov… - The wiiw Balkan …, 2010 - ideas.repec.org
Distributions of many variables of interest in developed economic and financial markets,
including income and wealth, exhibit heavy tails as in the case of Pareto or power laws.
Many commonly used income and wealth inequality measures are very sensitive to ...
Cached - All 3 versions

Nondiversification traps in catastrophe insurance markets. Review of Financial Studies

R Ibragimov, D Jaffee… - Journal of Banking and Finance, 2008 - Citeseer
Abstract We develop a model for markets for catastrophic risk. The model explains why
insurance providers may choose not to offer insurance for catastrophic risks and not to
participate in reinsurance markets, even though there is a large enough market capacity to ...
Cached - Get it from MIT Libraries - All 3 versions

[PDF] Use of LADA for the development of a national SLM-information system for Uzbekistan

[PDF] from unccd.int
G Khasankhanova, T Khamzina, R Ibragimov… - … and Land Degradation …, 2009 - unccd.int
Abstract: The paper describes the first application of international FAO LADA methodology in
Uzbekistan/Central Asia. The project is carried out within the framework of the Central Asian
Countries Initiative for Land Management (CACILM) Multicountry Partnership Framework ...
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