Rustam Ibragimov
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Rustam |
| last: |
Ibragimov |
Identifer
Contact
Affiliations
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Imperial College
/ Business School (weight: 1%)
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New Economic School (NES) (weight: 99%)
Research profile
author of:
- New robust inference for predictive regressions (repec:arx:papers:2006.01191)
by Rustam Ibragimov & Jihyun Kim & Anton Skrobotov - New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence (repec:arx:papers:2006.01212)
by Rustam Ibragimov & Rasmus Pedersen & Anton Skrobotov - COVID-19: Tail Risk and Predictive Regressions (repec:arx:papers:2009.02486)
by Walter Distaso & Rustam Ibragimov & Alexander Semenov & Anton Skrobotov - Robust Inference on Income Inequality: $t$-Statistic Based Approaches (repec:arx:papers:2105.05335)
by Rustam Ibragimov & Paul Kattuman & Anton Skrobotov - Robust Cauchy-Based Methods for Predictive Regressions (repec:arx:papers:2511.09249)
by Rustam Ibragimov & Jihyun Kim & Anton Skrobotov - t-Statistic Based Correlation and Heterogeneity Robust Inference (repec:bes:jnlbes:v:28:i:4:y:2010:p:453-468)
by Ibragimov, Rustam & Müller, Ulrich K. - Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (repec:bes:jnlbes:v:29:i:1:y:2011:p:24-39)
by Gabaix, Xavier & Ibragimov, Rustam - Pricing and Capital Allocation for Multiline Insurance Firms (repec:bla:jrinsu:v:77:y:2010:i:3:p:551-578)
by Rustam Ibragimov & Dwight Jaffee & Johan Walden - Analogues of Khintchine, Marcinkiewicz–Zygmund and Rosenthal Inequalities for Symmetric Statistics (repec:bla:scjsta:v:26:y:1999:i:4:p:621-633)
by R. Ibragimov & Sh. Sharakhmetov - Efficiency Of Linear Estimators Under Heavy-Tailedness: Convolutions Of Α-Symmetric Distributions (repec:cup:etheor:v:23:y:2007:i:03:p:501-517_07)
by Ibragimov, Rustam - Regression Asymptotics Using Martingale Convergence Methods (repec:cup:etheor:v:24:y:2008:i:04:p:888-947_08)
by Ibragimov, Rustam & Phillips, Peter C.B. - Copula-Based Characterizations For Higher Order Markov Processes (repec:cup:etheor:v:25:y:2009:i:03:p:819-846_09)
by Ibragimov, Rustam - New Robust Inference For Predictive Regressions (repec:cup:etheor:v:40:y:2024:i:6:p:1364-1390_4)
by Ibragimov, Rustam & Kim, Jihyun & Skrobotov, Anton - Regression Asymptotics Using Martingale Convergence Methods (repec:cwl:cwldpp:1473)
by Rustam Ibragimov & Peter C.B. Phillips - Sign Tests for Dependent Observations and Bounds for Path-Dependent Options (repec:cwl:cwldpp:1518)
by Donald J. Brown & Rustam Ibragimov - Randomized Sign Test for Dependent Observations on Discrete Choice under Risk (repec:cwl:cwldpp:1526)
by Anat Bracha & Jeremy Gray & Rustam Ibragimov & Boaz Nadler & Dmitry Shapiro & Glena Ames & Donald J. Brown - Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions (repec:ecm:latm04:105)
by Rustam Ibragimov - Heavy tails and copulas: Limits of diversification revisited (repec:eee:ecolet:v:149:y:2016:i:c:p:102-107)
by Ibragimov, Rustam & Prokhorov, Artem - On the robustness of location estimators in models of firm growth under heavy-tailedness (repec:eee:econom:v:181:y:2014:i:1:p:25-33)
by Ibragimov, Rustam - Sign tests for dependent observations (repec:eee:ecosta:v:10:y:2019:i:c:p:1-8)
by Brown, Donald & Ibragimov, Rustam - Heavy tails and asymmetry of returns in the Russian stock market (repec:eee:ememar:v:32:y:2017:i:c:p:200-219)
by Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg - One country, two systems? The heavy-tailedness of Chinese A- and H- share markets (repec:eee:ememar:v:38:y:2019:i:c:p:115-141)
by Chen, Zhimin & Ibragimov, Rustam - The “Cubic Law of the Stock Returns” in emerging markets (repec:eee:empfin:v:46:y:2018:i:c:p:182-190)
by Gu, Zhiye & Ibragimov, Rustam - The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics (repec:eee:insuma:v:126:y:2026:i:c:s0167668725001428)
by Eling, Martin & Ibragimov, Rustam & Ning, Dingchen - Portfolio diversification under local and moderate deviations from power laws (repec:eee:insuma:v:42:y:2008:i:2:p:594-599)
by Ibragimov, Rustam & Walden, Johan - The limits of diversification when losses may be large (repec:eee:jbfina:v:31:y:2007:i:8:p:2551-2569)
by Ibragimov, Rustam & Walden, Johan - Emerging markets and heavy tails (repec:eee:jbfina:v:37:y:2013:i:7:p:2546-2559)
by Ibragimov, Marat & Ibragimov, Rustam & Kattuman, Paul - Diversification disasters (repec:eee:jfinec:v:99:y:2011:i:2:p:333-348)
by Ibragimov, Rustam & Jaffee, Dwight & Walden, Johan - A Characterization of Joint Distribution of Two-Valued Random Variables and Its Applications (repec:eee:jmvana:v:83:y:2002:i:2:p:389-408)
by Sharakhmetov, Sh. & Ibragimov, R. - Sanctions and the Russian stock market (repec:eee:riibaf:v:40:y:2017:i:c:p:150-162)
by Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg - The best constant in the Rosenthal inequality for nonnegative random variables (repec:eee:stapro:v:55:y:2001:i:4:p:367-376)
by Ibragimov, R. & Sharakhmetov, Sh. - Heavy-tailedness and threshold sex determination (repec:eee:stapro:v:78:y:2008:i:16:p:2804-2810)
by Ibragimov, Rustam - Optimal constants in the Rosenthal inequality for random variables with zero odd moments (repec:eee:stapro:v:78:y:2008:i:2:p:186-189)
by Ibragimov, Marat & Ibragimov, Rustam - A Market Crash or Tail Risk? Heavy Tails and Asymmetry of Returns in the Chinese Stock Market (repec:eme:aecozz:s0731-90532023000045b009)
by Zeyu Xing & Rustam Ibragimov - On Efficiency of Linear Estimators Under Heavy-Tailedness (repec:fth:harver:2085)
by Rustam Ibragimov - Portfolio Diversification and Value at Risk Under Thick-Tailedness (repec:fth:harver:2086)
by Rustam Ibragimov - Demand-Driven Innovation and Spatial Competition Over Time Under Heavy-Tailed Signals (repec:fth:harver:2087)
by Rustam Ibragimov - Optimal Bundling Strategies For Complements And Substitutes With Heavy-Tailed Valuations (repec:fth:harver:2088)
by Rustam Ibragimov - A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory (repec:fth:harver:2092)
by Rustam Ibragimov - Copula-Based Dependence Characterizations and Modeling for Time Series (repec:fth:harver:2094)
by Rustam Ibragimov - Sign Tests for Dependent Observations (repec:fth:harver:2099)
by Rustam Ibragimov & Donald J. Brown - The Limits of Diversification When Losses May Be Large (repec:fth:harver:2104)
by Rustam Ibragimov & Johan Walden - Log(Rank-1/2): A Simple Way to Improve the OLS Estimation of Tail Exponents (repec:fth:harver:2106)
by Xavier Gabaix & Rustam Ibragimov - Portfolio Diversification Under Local, Moderate and Global Deviations From Power Laws (repec:fth:harver:2116)
by Rustam Ibragimov & Johan Walden - Heavy-tailedness and Threshold Sex Determination (repec:hrv:faseco:2623659)
by Ibragimov, Rustam - The exact constant in the Rosenthal inequality for random variables with mean zero (repec:hrv:faseco:2623703)
by Ibragimov, Rustam & Sharakhmetov, Shaturgun - Market Demand Elasticity and Income Inequality (repec:hrv:faseco:2623728)
by Ibragimov, Rustam & Ibragimov, Marat - Efficiency of linear estimators under heavy-tailedness: convolutions of [alpha]-symmetric distributions (repec:hrv:faseco:2623749)
by Ibragimov, Rustam - Thou shalt not diversity: Why "Two of Every Sort"? (repec:hrv:faseco:2623763)
by Ibragimov, Rustam - A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory (repec:hrv:faseco:2624003)
by Ibragimov, Rustam - On Extremal Distributions and Sharp L[sub]p-Bounds For Sums of Multilinear Forms (repec:hrv:faseco:2624455)
by de la Peña, Victor H. & Sharakhmetov, Shaturgun & Ibragimov, Rustam - Regression asymptotics using martingale convergence methods (repec:hrv:faseco:2624459)
by Ibragimov, Rustam & Phillips, Peter C.B. - The limits of diversification when losses may be large (repec:hrv:faseco:2624460)
by Ibragimov, Rustam & Walden, Johan - Optimal Constants in the Rosenthal Inequality for Random Variables with Zero Odd Moments (repec:hrv:faseco:2624461)
by Ibragimov, Marat & Ibragimov, Rustam - Portfolio Diversification under Local and Moderate Deviations from Power Laws (repec:hrv:faseco:2640586)
by Walden, Johan & Ibragimov, Rustam - Optimal Bundling Strategies Under Heavy-Tailed Valuations (repec:inm:ormnsc:v:56:y:2010:i:11:p:1963-1976)
by Rustam Ibragimov & Johan Walden - Bounds for path-dependent options (repec:kap:annfin:v:11:y:2015:i:3:p:433-451)
by Donald Brown & Rustam Ibragimov & Johan Walden - Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks (repec:kap:annfin:v:7:y:2011:i:3:p:285-318)
by Rustam Ibragimov & Johan Walden - Cryptocurrency Exchange Simulation (repec:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10495-z)
by Kirill Mansurov & Alexander Semenov & Dmitry Grigoriev & Andrei Radionov & Rustam Ibragimov - Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (repec:nbr:nberte:0342)
by Xavier Gabaix & Rustam Ibragimov - New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence† (repec:oup:jfinec:v:22:y:2024:i:4:p:1075-1097.)
by Rustam Ibragimov & Rasmus Søndergaard Pedersen & Anton Skrobotov - Equilibrium with Monoline and Multiline Structures
[Uncertainty and the welfare economics of medical care] (repec:oup:revfin:v:22:y:2018:i:2:p:595-632.)
by Rustam Ibragimov & Dwight Jaffee & Johan Walden - Nondiversification Traps in Catastrophe Insurance Markets (repec:oup:rfinst:v:22:y:2009:i:3:p:959-993)
by Rustam Ibragimov & Dwight Jaffee & Johan Walden - Nondiversification Traps in Catastrophe Insurance Markets (repec:oup:rfinst:v:22:y:2009:i:3:p:959-993.)
by Rustam Ibragimov & Dwight Jaffee & Johan Walden - COVID-19: Tail risk and predictive regressions (repec:plo:pone00:0275516)
by Walter Distaso & Rustam Ibragimov & Alexander Semenov & Anton Skrobotov - Extreme movements of the Russian stock market and their consequences for management and economic modeling (repec:ris:apltrx:0311)
by Andrei Ankudinov & Rustam Ibragimov & Oleg Lebedev - Heavy tails and upper-tail inequality: The case of Russia (repec:spr:empeco:v:54:y:2018:i:2:d:10.1007_s00181-017-1239-0)
by Marat Ibragimov & Rustam Ibragimov - A method of calculating the spectral radius of a nonnegative matrix and its applications (repec:spr:joecth:v:17:y:2001:i:2:p:467-480)
by Marat Ibragimov - Market Demand Elasticity and Income Inequality (repec:spr:joecth:v:32:y:2007:i:3:p:579-587)
by Marat Ibragimov & Rustam Ibragimov - Income inequality and price elasticity of market demand: the case of crossing Lorenz curves (repec:spr:joecth:v:65:y:2018:i:3:d:10.1007_s00199-017-1037-0)
by Marat Ibragimov & Rustam Ibragimov & Paul Kattuman & Jun Ma - A tale of two tails: peakedness properties in inheritance models of evolutionary theory (repec:spr:joevec:v:18:y:2008:i:5:p:597-613)
by Rustam Ibragimov - Exact Estimates for Moments of Random Bilinear Forms (repec:spr:jotpro:v:14:y:2001:i:1:d:10.1023_a:1007812829787)
by R. Ibragimov & Sh. Sharakhmetov & A. Cecen - Fat tails and copulas: limits of diversification revisited (repec:syb:wpbsba:2123/13799)
by Ibragimov, Rustam & Mo, Jingyuan & Prokhorov, Artem - Unemployment and output dynamics in CIS countries: Okun’s law revisited (repec:taf:applec:v:49:y:2017:i:34:p:3453-3479)
by Marat Ibragimov & Rustam Ibragimov - Robust inference on income inequality: t-statistic based approach (repec:taf:emetrv:v:44:y:2025:i:4:p:384-415)
by Rustam Ibragimov & Paul Kattuman & Anton Skrobotov - Rank - 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (repec:taf:jnlbes:v:29:y:2011:i:1:p:24-39)
by Xavier Gabaix & Rustam Ibragimov - Portfolio diversification and value at risk under thick-tailedness (repec:taf:quantf:v:9:y:2009:i:5:p:565-580)
by Rustam Ibragimov - Inference with Few Heterogeneous Clusters (repec:tpr:restat:v:98:y:2016:i:1:p:83-96)
by Rustam Ibragimov & Ulrich K. Müller - Equity returns and sentiment (repec:vrs:demode:v:10:y:2022:i:1:p:159-176:n:1)
by Huang Zibin & Ibragimov Rustam - Predictability of cryptocurrency returns: evidence from robust tests (repec:vrs:demode:v:10:y:2022:i:1:p:191-206:n:5)
by He Siyun & Ibragimov Rustam - Measuring Inequality in CIS Countries: Theory and Empirics (repec:wii:bpaper:088)
by Rustam Ibragimov & Marat Ibragimov & Rufat Khamidov - Robust Analysis of Income Inequality Dynamics in Russia: t-Statistic Based Approaches (repec:wii:bpaper:105)
by Rustam Ibragimov & Marat Ibragimov & Jovlon Karimov & Galiya Yuldasheva - Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance (repec:wsi:wsbook:9644)
by Rustam Ibragimov & Artem Prokhorov - Introduction and Overview (repec:wsi:wschap:9789814689809_0001)
by Rustam Ibragimov & Artem Prokhorov - Portfolio Diversification under Independent Fat Tailed Risks (repec:wsi:wschap:9789814689809_0002)
by Rustam Ibragimov & Artem Prokhorov - From Independence to Dependence via Copulas and U-statistics (repec:wsi:wschap:9789814689809_0003)
by Rustam Ibragimov & Artem Prokhorov - Limits of Diversification under Fat Tails and Dependence (repec:wsi:wschap:9789814689809_0004)
by Rustam Ibragimov & Artem Prokhorov - Robustness of Econometric Methods to Copula Misspecification and Heavy Tails (repec:wsi:wschap:9789814689809_0005)
by Rustam Ibragimov & Artem Prokhorov - Copula Tests Using Information Matrix (repec:wsi:wschap:9789814689809_0006)
by Rustam Ibragimov & Artem Prokhorov - Summary and Conclusion (repec:wsi:wschap:9789814689809_0007)
by Rustam Ibragimov & Artem Prokhorov - Portfolio Diversification and Value At Risk Under Thick-Tailedness (repec:ysm:wpaper:amz2386)
by Rustam Ibragimov - Sign Tests for Dependent Observations and Bounds for Path-Dependent Options (repec:ysm:wpaper:amz2581)
by Donald Brown & Rustam Ibragimov - Artificial Intelligence–Based Forecasting of Oil Prices: Evidence from Neural Network Models (repec:zbw:esprep:335571)
by Ficura, Milan & Ibragimov, Rustam & Janda, Karel