Rustam Ibragimov
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Publications
“Heavy-tailed densities”. The New Palgrave Dictionary of Economics Online. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2009.
“Bounds on moments of symmetric statistics” (with
“On extremal distributions and sharp Lp-bounds for sums of multilinear forms”, (with Victor H. de la Peña and Shaturgun Sharakhmetov), 2003, Annals of Probability 31, 630-675.
“t-statistic based correlation and heterogeneity robust inference” (with Ulrich K. Mueller). Supplementary material. Forthcoming in the Journal of Business & Economic Statistics, http://pubs.amstat.org/doi/pdf/10.1198/jbes.2009.08046 Also available as Harvard Institute of Economic Research Discussion Paper No. 2129. Alternative proof of small sample conservativeness.
“Nondiversification traps in catastrophe insurance markets” (with Dwight Jaffee and Johan Walden). Review of Financial Studies 22 (2009), 959-993. Johan Walden's slides for the talk at 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.
"Pricing and capital allocation for multiline insurance firms" (with Dwight Jaffee and Johan Walden). Fisher Center Working Paper #307, University of California at Berkeley. Forthcoming in the Journal of Risk and Insurance.
“RANK-1/2: A simple way to improve the OLS estimation of tail exponents” (with Xavier Gabaix). Additional results on simulations for GARCH processes and tail index estimation using harmonic numbers. Forthcoming in the Journal of Business & Economic Statistics, http://pubs.amstat.org/doi/pdf/10.1198/jbes.2009.06157 Also available as Harvard Institute of Economic Research Discussion Paper No. 2106.
“Efficiency of linear estimators under heavy-tailedness: Convolutions of a-symmetric distributions”. Econometric Theory 23 (2007), 501-517.
“Copula-based characterizations for higher-order Markov processes”. Econometric Theory 25 (2009), 819-846. An extended working paper version is available as Harvard Institute of Economic Research Discussion Paper No. 2094.
“Regression asymptotics using martingale convergence methods” (with Peter C. B. Phillips). Econometric Theory 28 (2008), 1-60. Also available as Cowles Foundation Discussion Paper No. 1473.
“The limits of diversification when losses may be large” (with Johan Walden). Journal of Banking and Finance 31 (2007), 2551-2569. http://dx.doi.org/10.1016/j.jbankfin.2006.11.014 Also available as Harvard Institute of Economic Research Discussion Paper No. 2104.
“Portfolio diversification under local and moderate deviations from power laws” (with Johan Walden). Insurance: Mathematics and Economics 42 (2008), 594-599. http://dx.doi.org/10.1016/j.insmatheco.2007.06.006 Also available as Harvard Institute of Economic Research Discussion Paper No. 2116.
“Portfolio diversification and Value at Risk under thick-tailedness”. Appendix A3 on extensions to heterogeneity and skewness. Quantitative Finance 9, 565-580. Also available as Harvard Institute of Economic Research Discussion Paper No. 2086 and International Center for Financial School of Management Working Paper No. 01-50.
“Measurement of economic progress” (with Marat Ibragimov). International Encyclopedia of Statistical Science. (M. Lovric, Ed.), Springer, 2010.
“Copula estimation” (with Barbara Choros and Elena Permiakova), Workshop on Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings. Springer, 2010 (F. Durante, W. Haerdle, P. Jaworski, and T. Rychlik, eds.).
“Thou shalt not diversity: Why "Two of every sort?” Journal of Applied Probability 44 (2007), 58-70. Also available as Harvard Institute of Economic Research Discussion Paper No. 2105.
“Heavy-tailedness and threshold sex determination”. Statistics and Probability Letters 48 (2008), 2804-2810. http://dx.doi.org/10.1016/j.spl.2008.03.029
“A tale of two tails: Peakedness properties in inheritance models of evolutionary theory”. Journal of Evolutionary Economics 18 (2008), 597-613. http://www.springerlink.com/content/th80156567t16536 Also available as Harvard Institute of Economic Research Discussion Paper No. 2092.
“Market demand elasticity and income inequality”, 2006 (with Marat Ibragimov). Economic Theory 32 (2007), 579-587. http://dx.doi.org/10.1007/s00199-006-0125-3
“Modeling and forecasting income tax revenue: The case of Uzbekistan” (with Marat Ibragimov and Nishanbay Sirajiddinov), 2008. In: Income distribution: Inequalities, impacts and incentives (Irwing H. Wadell, Ed.), Nova Science Publishers, Hauppage, NY.
“Labor market equilibrium and income tax rates: The case of Uzbekistan” (with V. Anoshkina, Z. Davidova and M. Ibragimov). Tax Policy and Practice (Moscow, Russia), 2009, Issue 1 (in Russian). http://www.nalogkodeks.ru/articles.php?lng=ru&pg=173
“Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series”, (with Victor H. de la Peña and
“New majorization theory in economics and martingale convergence results in econometrics”, 2005, Ph.D. Dissertation, Yale University.
“Option bounds”, (with Victor H. de la Peña and
“Valuation of non-traded financial assets using Markov switching among multiple states” (with Charles E. Mossman and Sergiy Rakhmayil), 2003, Proceedings of the 2003 Annual Conference of Administrative Sciences Association of
“A characterization of joint distribution of two-valued random variables and its applications” (with Shaturgun Sharakhmetov), 2002, Journal of Multivariate Analysis 83, 389-408.
“On sharp Burkholder-Rosenthal-type inequalities for infinite-degree U-statistics”, (with Victor H. de la Peña and Shaturgun Sharakhmetov), 2002, Annales de l'Institute H. Poincare-Probabilites et Statistiques 38, 973-990.
“The exact constant in the Rosenthal inequality for random variables with mean zero” (with Shaturgun Sharakhmetov), 2002, Theory of Probability and Its Applications 46, 127-131.
“On extremal problems and best constants in moment inequalities” (with
“Exact estimates for moments of random bilinear forms” (with
“The best constant in the Rosenthal inequality for nonnegative random variables” (with Shaturgun Sharakhmetov), 2001, Statistics and Probability Letters 55, 367-376.
“Analogues of Khintchine, Marcinkiewicz-Zygmund and Rosenthal inequalities for symmetric statistics” (with
“On an exact constant for the Rosenthal inequality” (with Shaturgun Sharakhmetov), 1997, Theory of Probability and Its Applications 42, 294-302.
“Estimates for moments of symmetric statistics”, 1997, Ph.D. (Kandidat Nauk) Dissertation, Institute of Mathematics of
© 2007 by the President and Fellows of Harvard College