Rustam Ibragimov

Recent Research Papers

"Copulas and long memory" (with George Lentzas). Harvard Institute of Economic Research Discussion Paper No. 2160.

"t-statistic based correlation and heterogeneity robust inference" (with Ulrich K. Mueller). Also available as Harvard Institute of Economic Research Discussion Paper No. 2129. Alternative proof of small sample conservativeness.

"Value at risk under dependence and heavy-tailedness: Models with common shocks" (with Johan Walden). Harvard Institute of Economic Research Discussion Paper No. 2139. Slides for the exploratory seminar on “Stochastics and Dependence in Finance, Risk Management, and Insurance”, The Radcliffe Institute for Advanced Study at Harvard University, November 9-10, 2007

"LOG(RANK-1/2): A simple way to improve the OLS estimation of tail exponents" (with Xavier Gabaix). Revised February 2008. Technical appendix on simulations for GARCH processes and tail index estimation using harmonic numbers. Also available as Harvard Institute of Economic Research Discussion Paper No. 2106.

"Income distribution and market demand: The case of heterogeneous preferences" (with Marat Ibragimov).

"On functions not preserving majorization pre-ordering and their applications".

"On the robustness of economic models to heavy-tailedness assumptions"

"Optimal bundling strategies under heavy-tailed valuations" (with Johan Walden).

"On efficiency of linear estimators under heavy-tailedness". Econometric Theory 23 (2007), 501-517. Also available as Harvard Institute of Economic Research Discussion Paper No. 2085. "

"Portfolio of diversification and Value at Risk under thick-tailedness". Appendix A3 on extensions to heterogeneity and skewness. Harvard Institute of Economic Research Discussion Paper No. 2086 and International Center for Financial School of Management Working Paper No. 01-50.

"On the robustness of location estimators in models of firm growth under heavy-tailedness". Also available as Harvard Institute of Economic Research Discussion Paper No. 2087.

"Uzbekistan population forecast" (with Victoriya Anoshkina, Zulfiya Davidova and Marat Ibragimov). In Russian.

"A method for estimation of the volume of unofficial wage payments" (with Victoriya Anoshkina, Zulfiya Davidova and Marat Ibragimov).

"Sign tests for dependent observations" (with Donald Brown). Harvard Institute of Economic Research Discussion Paper No. 2099.

"Randomized sign tests for dependent observations on discrete choice under risk" (with Anat Bracha, Jeremy Gray, Boaz Nadler, Dmitry Shapiro, Glena Ames and Donald Brown). Cowles Foundation Discussion Paper No. 1526.

"Sharp probability inequalities and conservative testing procedures for Studentized processes amd moving averages with applications to econometric models and heavy tails" (with V.H. de la Peña).