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Rustam Ibragimov
Rustam Ibragimov
Imperial College Business School
Verified email at imperial.ac.uk - Homepage
Title
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
7602011
Diversification disasters
R Ibragimov, D Jaffee, J Walden
Journal of financial economics 99 (2), 333-348, 2011
3382011
t-Statistic Based Correlation and Heterogeneity Robust Inference
R Ibragimov, UK Müller
Journal of Business & Economic Statistics 28 (4), 453-468, 2010
2312010
The limits of diversification when losses may be large
R Ibragimov, J Walden
Journal of banking & finance 31 (8), 2551-2569, 2007
2112007
Nondiversification traps in catastrophe insurance markets
R Ibragimov, D Jaffee, J Walden
The Review of Financial Studies 22 (3), 959-993, 2009
1562009
Heavy-tailed distributions and robustness in economics and finance
M Ibragimov, R Ibragimov, J Walden
Springer, 2015
1422015
Copula-based characterizations for higher order Markov processes
R Ibragimov
Econometric Theory 25 (3), 819-846, 2009
1392009
Inference with few heterogeneous clusters
R Ibragimov, UK Müller
Review of Economics and Statistics 98 (1), 83-96, 2016
1252016
Portfolio diversification and value at risk under thick-tailedness
R Ibragimov
Quantitative Finance 9 (5), 565-580, 2009
1222009
Copula estimation
B Choroś, R Ibragimov, E Permiakova
Copula Theory and Its Applications: Proceedings of the Workshop Held in …, 2010
121*2010
Regression asymptotics using martingale convergence methods
R Ibragimov, PCB Phillips
Econometric Theory 24 (4), 888-947, 2008
932008
Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series
VH de la Pena, R Ibragimov, S Sharakhmetov
Lecture Notes-Monograph Series, 183-209, 2006
922006
On an exact constant for the Rosenthal inequality
R Ibragimov, S Sharakhmetov
Theory of Probability & Its Applications 42 (2), 294-302, 1998
791998
Sanctions and the Russian stock market
A Ankudinov, R Ibragimov, O Lebedev
Research in International Business and Finance 40, 150-162, 2017
752017
Emerging markets and heavy tails
M Ibragimov, R Ibragimov, P Kattuman
Journal of Banking & Finance 37 (7), 2546-2559, 2013
732013
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
712002
Heavy tails and copulas: topics in dependence modelling in economics and finance
R Ibragimov, A Prokhorov
652017
Unemployment and output dynamics in CIS countries: Okun’s law revisited
M Ibragimov, R Ibragimov
Applied Economics 49 (34), 3453-3479, 2017
612017
Optimal bundling strategies under heavy-tailed valuations
R Ibragimov, J Walden
Management Science 56 (11), 1963-1976, 2010
582010
Pricing and capital allocation for multiline insurance firms
R Ibragimov, D Jaffee, J Walden
Journal of Risk and Insurance 77 (3), 551-578, 2010
572010
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