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Rustam Ibragimov, Ph.D. - Publications

Affiliations: 
2005 Yale University, New Haven, CT 
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33 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2019 Chen Z, Ibragimov R. One country, two systems? The heavy-tailedness of Chinese A- and H- share markets Emerging Markets Review. 38: 115-141. DOI: 10.1016/J.Ememar.2018.11.007  0.347
2019 Ibragimov R, Brown DJ. Sign tests for dependent observations Econometrics and Statistics. 10: 1-8. DOI: 10.1016/J.Ecosta.2018.11.001  0.335
2018 Ibragimov M, Ibragimov R, Kattuman P, Ma J. Income inequality and price elasticity of market demand: the case of crossing Lorenz curves Economic Theory. 65: 729-750. DOI: 10.1007/S00199-017-1037-0  0.356
2018 Ibragimov M, Ibragimov R. Heavy tails and upper-tail inequality: The case of Russia Empirical Economics. 54: 823-837. DOI: 10.1007/S00181-017-1239-0  0.399
2017 Ibragimov M, Ibragimov R. Unemployment and output dynamics in CIS countries: Okun's law revisited Applied Economics. 49: 3453-3479. DOI: 10.1080/00036846.2016.1262519  0.325
2017 Ankudinov A, Ibragimov R, Lebedev O. Sanctions and the Russian stock market Research in International Business and Finance. 40: 150-162. DOI: 10.1016/J.Ribaf.2017.01.005  0.376
2017 Gu Z, Ibragimov R. The “Cubic Law of the Stock Returns” in emerging markets Journal of Empirical Finance. 46: 182-190. DOI: 10.1016/J.Jempfin.2017.11.008  0.351
2017 Ankudinov A, Ibragimov R, Lebedev O. Heavy tails and asymmetry of returns in the Russian stock market Emerging Markets Review. 32: 200-219. DOI: 10.1016/J.Ememar.2017.08.005  0.375
2016 Ibragimov R, Prokhorov A. Heavy tails and copulas: Limits of diversification revisited Economics Letters. 149: 102-107. DOI: 10.1016/J.Econlet.2016.10.024  0.321
2015 Brown DJ, Ibragimov R, Walden J. Bounds for path-dependent options Annals of Finance. DOI: 10.1007/S10436-015-0265-1  0.399
2014 Ibragimov R. On the robustness of location estimators in models of firm growth under heavy-tailedness Journal of Econometrics. 181: 25-33. DOI: 10.1016/J.Jeconom.2014.02.005  0.328
2013 Ibragimov M, Ibragimov R, Kattuman P. Emerging markets and heavy tails Journal of Banking and Finance. 37: 2546-2559. DOI: 10.1016/J.Jbankfin.2013.02.019  0.339
2011 Gabaix X, Ibragimov R. Rank- 1/2: A simple way to improve the ols estimation of tail exponents Journal of Business and Economic Statistics. 29: 24-39. DOI: 10.1198/Jbes.2009.06157  0.325
2011 Ibragimov R, Walden J. Value at risk and efficiency under dependence and heavy-tailedness: Models with common shocks Annals of Finance. 7: 285-318. DOI: 10.1007/S10436-010-0166-2  0.329
2010 Ibragimov R, Walden J. Optimal bundling strategies under heavy-tailed valuations Management Science. 56: 1963-1976. DOI: 10.1287/Mnsc.1100.1234  0.341
2010 Ibragimov R, Müller UK. T -statistic based correlation and heterogeneity robust inference Journal of Business and Economic Statistics. 28: 453-468. DOI: 10.1198/Jbes.2009.08046  0.313
2010 Ibragimov R, Jaffee D, Walden J. Pricing and capital allocation for multiline insurance firms Journal of Risk and Insurance. 77: 551-578. DOI: 10.1111/J.1539-6975.2010.01353.X  0.306
2009 Ibragimov R, Jaffee D, Walden J. Nondiversification traps in catastrophe insurance markets Review of Financial Studies. 22: 959-993. DOI: 10.1093/Rfs/Hhn021  0.336
2009 Ibragimov R. Portfolio diversification and value at risk under thick-tailednessy Quantitative Finance. 9: 565-580. DOI: 10.1080/14697680802629384  0.359
2009 Ibragimov R. Copula-based characterizations for higher order markov processes Econometric Theory. 25: 819-846. DOI: 10.1017/S0266466609090720  0.321
2008 Ibragimov R, Phillips PCB. Regression asymptotics using martingale convergence methods Econometric Theory. 24: 888-947. DOI: 10.1017/S0266466608080365  0.331
2008 Ibragimov R, Walden J. Portfolio diversification under local and moderate deviations from power laws Insurance: Mathematics and Economics. 42: 594-599. DOI: 10.1016/J.Insmatheco.2007.06.006  0.354
2008 Ibragimov R. A tale of two tails: Peakedness properties in inheritance models of evolutionary theory Journal of Evolutionary Economics. 18: 597-613. DOI: 10.1007/S00191-006-0041-5  0.347
2007 Ibragimov R. Thou shalt not diversify: Why 'two of every sort'? Journal of Applied Probability. 44: 58-70. DOI: 10.1239/Jap/1175267163  0.327
2007 Ibragimov R. Efficiency of linear estimators under heavy-tailedness: Convolutions of α-symmetric distributions Econometric Theory. 23: 501-517. DOI: 10.1017/S0266466607070223  0.322
2007 Ibragimov R, Walden J. The limits of diversification when losses may be large Journal of Banking and Finance. 31: 2551-2569. DOI: 10.1016/J.Jbankfin.2006.11.014  0.349
2007 Ibragimov M, Ibragimov R. Market demand elasticity and income inequality Economic Theory. 32: 579-587. DOI: 10.1007/S00199-006-0125-3  0.362
2003 De la Peña VH, Ibragimov R, Sharakhmetov S. On extremal distributions and sharp Lp-bounds for sums of multilinear forms Annals of Probability. 31: 630-675. DOI: 10.1214/Aop/1048516531  0.308
2002 Ibragimov R, Sharakhmetov S. Bounds on moments of symmetric statistics Studia Scientiarum Mathematicarum Hungarica. 39: 251-275. DOI: 10.1556/Sscmath.39.2002.3-4.1  0.375
2002 Sharakhmetov S, Ibragimov R. A characterization of joint distribution of two-valued random variables and its applications Journal of Multivariate Analysis. 83: 389-408. DOI: 10.1006/Jmva.2001.2059  0.35
2001 Ibragimov R, Sharakhmetov S, Cecen A. Exact Estimates for Moments of Random Bilinear Forms Journal of Theoretical Probability. 14: 21-37. DOI: 10.1023/A:1007812829787  0.361
2001 Ibragimov R, Sharakhmetov S. The best constant in the Rosenthal inequality for nonnegative random variables Statistics and Probability Letters. 55: 367-376. DOI: 10.1016/S0167-7152(01)00134-1  0.309
1999 Ibragimov R, Sharakhmetov S. Analogues of Khintchine, Marcinkiewicz-Zygmund and Rosenthal inequalities for symmetric statistics Scandinavian Journal of Statistics. 26: 621-633. DOI: 10.1111/1467-9469.00172  0.37
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