Rustam Ibragimov
Rustam Ibragimov
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Cited by
Cited by
Year
Rank− 1/2: a simple way to improve the OLS estimation of tail exponents
X Gabaix, R Ibragimov
Journal of Business & Economic Statistics 29 (1), 24-39, 2011
5782011
Diversification disasters
R Ibragimov, D Jaffee, J Walden
Journal of financial economics 99 (2), 333-348, 2011
2682011
The limits of diversification when losses may be large
R Ibragimov, J Walden
Journal of banking & finance 31 (8), 2551-2569, 2007
1812007
t-Statistic based correlation and heterogeneity robust inference
R Ibragimov, UK Müller
Journal of Business & Economic Statistics 28 (4), 453-468, 2010
1722010
Nondiversification traps in catastrophe insurance markets
R Ibragimov, D Jaffee, J Walden
The Review of Financial Studies 22 (3), 959-993, 2009
1262009
Copula-based characterizations for higher order Markov processes
R Ibragimov
Econometric Theory, 819-846, 2009
1122009
Copula estimation
B Choroś, R Ibragimov, E Permiakova
Copula theory and its applications, 77-91, 2010
892010
Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series
H Victor, R Ibragimov, S Sharakhmetov
Optimality, 183-209, 2006
862006
Inference with few heterogeneous clusters
R Ibragimov, UK Müller
Review of Economics and Statistics 98 (1), 83-96, 2016
852016
Regression asymptotics using martingale convergence methods
R Ibragimov, PCB Phillips
Econometric Theory, 888-947, 2008
812008
Heavy-tailed distributions and robustness in economics and finance
M Ibragimov, R Ibragimov, J Walden
Springer, 2015
762015
On an exact constant for the Rosenthal inequality
R Ibragimov, S Sharakhmetov
Theory of Probability & Its Applications 42 (2), 294-302, 1998
731998
Portfolio diversification and value at risk under thick-tailedness
R Ibragimov
Quantitative Finance 9 (5), 565-580, 2009
672009
The exact constant in the Rosenthal inequality for random variables with mean zero
R Ibragimov, S Sharakhmetov
Theory of Probability & Its Applications 46 (1), 127-132, 2002
602002
Emerging markets and heavy tails
M Ibragimov, R Ibragimov, P Kattuman
Journal of Banking & Finance 37 (7), 2546-2559, 2013
532013
A characterization of joint distribution of two-valued random variables and its applications
S Sharakhmetov, R Ibragimov
Journal of Multivariate Analysis 83 (2), 389-408, 2002
532002
Pricing and capital allocation for multiline insurance firms
R Ibragimov, D Jaffee, J Walden
Journal of Risk and Insurance 77 (3), 551-578, 2010
502010
Heavy-tailed densities
R Ibragimov
The New Palgrave Dictionary of Economics Online, 2009
502009
The Global Financial Crisis: Understanding the Global Trade Downturn and Recovery1
R Anderton, T Tewolde
The World Economy 34 (5), 741-763, 2011
472011
New majorization theory in economics and martingale convergence results in econometrics
R Ibragimov
Yale University, 2005
422005
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Articles 1–20