Rustam Ibragimov

Publications

“Efficiency of linear estimators under heavy-tailedness: Convolutions of a-symmetric distributions”. Econometric Theory 23 (2007), 501-517.

“Nondiversification traps in markets for catastrophic risks” (with Johan Walden and Dwight Jaffee). Forthcoming in Review of Financial Studies. 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

“Copula-based characterizations for higher-order Markov processes”. Forthcoming in Econometric Theory. 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). Forthcoming in Econometric Theory. 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.

“Optimal constants in the Rosenthal inequality for random variables with zero odd moments” (with Marat Ibragimov). Statistics and Probability Letters 78 (2008), 186-189. http://dx.doi.org/10.1016/j.spl.2007.05.018

“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”. Forthcoming in Statistics and Probability Letters.

“A tale of two tails: Peakedness properties in inheritance models of evolutionary theory”. Forthcoming in the Journal of Evolutionary Economics. 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.

“Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series”, (with Victor H. de la Peña and Shaturgun Sharakhmetov), 2006. In: 2nd Erich L. Lehmann Symposium - Optimality, IMS Lecture Notes -- Monograph Series 49 (Javier Rojo, Ed.), 183-209. Institute of Mathematical Statistics, Beachwood, Ohio.

"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 Steven Jordan), 2004, Journal of Applied Probability 41A, 145-156.

“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.

“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 Canada.

“A characterization of joint distribution of two-valued random variables and its applications” (with Shaturgun Sharakhmetov), 2002, Journal of Multivariate Analysis 83, 389-408.

“Bounds on moments of symmetric statistics” (with Shaturgun Sharakhmetov), Published 2002, Date of submission: July 1996, Studia Scientiarum Mathematicarum Hungarica 39, 251-275.

“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 Shaturgun Sharakhmetov). Sankhya Ser. A 64 (2002), 42-56.

“Exact estimates for moments of random bilinear forms” (with Shaturgun Sharakhmetov and Aydin Cecen), 2001, Journal of Theoretical Probability 14, 21-37.

“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 Shaturgun Sharakhmetov), 1999, Scandinavian Journal of Statistics 26, 621-623.

“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 Uzbek Academy of Sciences, Tashkent (In Russian; please email for English translation of any part).