Rustam Ibragimov

Harvard University - Department of Economics

Assistant Professor

Littauer Center

1805 Cambridge St.

Cambridge, MA 02138

United States

http://www.economics.harvard.edu/faculty/ibragimov/ibragimov.html

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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Top 5,335

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61

CROSSREF CITATIONS

140

Scholarly Papers (19)

1.

Portfolio Diversification and Value at Risk Under Thick-Tailedness

Yale ICF Working Paper No. 05-10, Harvard Institute of Economic Research Discussion Paper No. 2086
Number of pages: 23 Posted: 09 May 2005
Rustam Ibragimov
Harvard University - Department of Economics
Downloads 1,128 (18,752)
Citation 1

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value at risk, coherent measures of risk, heavy-tailed risks, portfolios, riskiness, diversification, risk bonds

Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents

Harvard Institute of Economic Research Discussion Paper No. 2106
Number of pages: 34 Posted: 07 Feb 2006 Last Revised: 19 Jun 2009
Xavier Gabaix and Rustam Ibragimov
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 917 (24,981)
Citation 19

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power law, heavy-tailedness, OLS log-log rank-size regression, bias, standard errors, Zipf's law

Rank-1/2: A Simple Way to Improve the Ols Estimation of Tail Exponents

NBER Working Paper No. t0342
Number of pages: 37 Posted: 14 Sep 2007
Rustam Ibragimov and Xavier Gabaix
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 34 (474,169)
Citation 2

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3.

Copula-Based Dependence Characteriztions and Modeling for Time Series

Harvard Institute of Economic Research Discussion Paper No. 2094
Number of pages: 30 Posted: 21 Sep 2005
Rustam Ibragimov
Harvard University - Department of Economics
Downloads 576 (47,944)
Citation 7

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copulas, dependence, characterization, time series, Markov processes, m-dependence, r-indpendence, stochastic differential equations, Fourier copulas

4.

Copulas and Long Memory

Harvard Institute of Economic Research Discussion Paper No. 2160
Number of pages: 53 Posted: 30 Jul 2008
Rustam Ibragimov and George Lentzas
Harvard University - Department of Economics and Morgan Stanley
Downloads 444 (66,296)
Citation 7

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long-memory processes, copulas, measures of dependence, autocorrelations, persistence, volatility, GARCH

5.

T-Statistic Based Correlation and Heterogeneity Robust Inference

Harvard Institute of Economic Research Discussion Paper No. 2129
Number of pages: 45 Posted: 21 Feb 2007
Rustam Ibragimov and Ulrich K. Müller
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 274 (114,715)
Citation 8

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t-test, dependence, least favorable distribution, variance estimation, Fama-MacBeth method

6.

Value at Risk Under Dependence and Heavy-Tailedness: Models with Common Shocks

Harvard Institute of Economic Research Discussion Paper No. 2139
Number of pages: 38 Posted: 10 Oct 2007
Rustam Ibragimov and Johan Walden
Harvard University - Department of Economics and University of Lausanne
Downloads 252 (125,173)

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7.

Optimal Bundling Strategies for Complements and Substitutes with Heavy-Tailed Valuations

Harvard Institute of Economic Research Discussion Paper No. 2088
Number of pages: 27 Posted: 08 Aug 2005
Rustam Ibragimov
Harvard University - Department of Economics
Downloads 216 (145,710)
Citation 3

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Optimal bundling strategies, multiproduct monopolist, Vickrey auction, substitutes, complements, heavy-tailed valuations, tastes, robustness

8.

The Limits of Diversification When Losses May Be Large

Harvard Institute of Economic Research Discussion Paper No. 2104
Number of pages: 36 Posted: 03 Feb 2006
Rustam Ibragimov and Johan Walden
Harvard University - Department of Economics and University of Lausanne
Downloads 205 (153,110)
Citation 8

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value at risk, coherent measures of risk, heavy-tailed risks, portfolios, riskiness, diversification, catastrophe insurance, risk bounds

9.

Sign Tests for Dependent Observations and Bounds for Path-Dependent Options

Yale ICF Working Paper No. 05-19; Cowles Foundation Discussion Paper No. 1518
Number of pages: 32 Posted: 06 Jun 2005
Rustam Ibragimov and Donald Brown
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 172 (179,502)
Citation 1

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Sign tests, dependence, martingale-difference, Bernoulli random variables, conservative tests, exact tests, option bounds, trinomial model, binomial model, semiparametric estimates, fair prices, expected payoffs, path-dependent contingent claims, effcient market hypothesis

10.

Portfolio Diversification Under Local, Moderate and Global Deviations from Power Laws

Harvard Institute of Economic Research Discussion Paper No. 2116
Number of pages: 23 Posted: 22 Mar 2006
Rustam Ibragimov and Johan Walden
Harvard University - Department of Economics and University of Lausanne
Downloads 155 (196,230)
Citation 4

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heavy-tailed risks, nonlinear transformations, portfolios, diversification, riskiness, value at risk, coherent measures of risk, risk bounds, robustness, Pareto-type distributions, power laws, local, moderate and global deviations

11.

Regression Asymptotics Using Martingale Convergence Methods

Cowles Foundation Discussion Paper No. 1473
Number of pages: 43 Posted: 27 Jul 2004
Rustam Ibragimov and Peter C. B. Phillips
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 141 (212,065)
Citation 1

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Semimartingale, martingale, convergence, stochastic integrals, bilinear forms, multilinear forms, U-statistics, unit root, stationarity, Brownian motion, invariance principle, unification

12.

On Efficiencey of Linear Estimators Under Heavy-Tailedness

Harvard Institute of Economic Research Discussion Paper No. 2085
Number of pages: 22 Posted: 02 Aug 2005
Rustam Ibragimov
Harvard University - Department of Economics
Downloads 108 (259,142)

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Linear estimators, effciency, peakedness, majorization, robustness, heavy-tailed distributions

13.

Demand-Driven Innovation and Spatial Competition Over Time Under Heavy-Tailed Signals

Harvard Institute of Economic Research Discussion Paper No. 2087
Number of pages: 18 Posted: 08 Aug 2005
Rustam Ibragimov
Harvard University - Department of Economics
Downloads 92 (288,581)
Citation 1

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Robustness, heavy-tailed distributions, demand-driven innovation, spatial competition, firm growth, Gibrat's law, signals, investment, information, sample mean, sample median, majorization

14.

Thou Shall Not Diversify: Why Two of Every Sort?

Harvard Institute of Economic Research Discussion Paper No. 2105
Number of pages: 23 Posted: 03 Feb 2006
Rustam Ibragimov
Harvard University - Department of Economics
Downloads 73 (331,564)

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Multi-sex mating systems, Genders, Multifactorial inheritance models, Phenotypic traits, Heritability, Sex ratio, Human capital, Diversification

15.

A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory

Harvard Institute of Economic Research Discussion Paper No. 2092
Number of pages: 22 Posted: 31 Aug 2005
Rustam Ibragimov
Harvard University - Department of Economics
Downloads 66 (350,224)
Citation 3

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Multifactorial inheritance models, Phenotypic traits, Heritability, Sex ratio, Human capital

16.

Sign Tests for Dependent Observations

Harvard Institute of Economic Research Discussion Paper No. 2099
Number of pages: 16 Posted: 03 Jan 2006
Rustam Ibragimov and Donald Brown
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 65 (353,024)

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Sign tests, dependence, adapted processes, martingale-difference sequences, Bernoulli random variables, conservative tests, exact tests

Pricing and Capital Allocation for Multiline Insurance Firms

Journal of Risk and Insurance, Vol. 77, No. 3, pp. 551-578, September 2010
Number of pages: 28 Posted: 04 Aug 2010
Rustam Ibragimov, Dwight M. Jaffee and Johan Walden
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of Lausanne
Downloads 3 (678,886)
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Pricing and Capital Allocation for Multiline Insurance Firms

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 551-578, 2010
Number of pages: 28 Posted: 08 Mar 2018
Rustam Ibragimov, Dwight M. Jaffee and Johan Walden
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of Lausanne
Downloads 1 (703,477)
Citation 1
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18.

Nondiversification Traps in Catastrophe Insurance Markets

The Review of Financial Studies, Vol. 22, Issue 3, pp. 959-993, 2009
Posted: 17 Mar 2009
Rustam Ibragimov, Dwight M. Jaffee and Johan Walden
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of Lausanne

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19.
Downloads 0 (687,283)

Option Bounds

Journal of Applied Probability, Vol. 41, Issue A, April 2004
Posted: 23 Jul 2004
Rustam Ibragimov, Victor H. de la Pena and Steven J. Jordan
Harvard University - Department of Economics, Columbia University - Department of Statistics and Econometric Solutions

Abstract:

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options, bounds, exotic, path dependent

Option Bounds

Journal of Applied Probability, Vol. 41, p. 145, 2004
Posted: 17 Sep 2012
Victor H. de la Pena, Rustam Ibragimov and Steven J. Jordan
Columbia University - Department of Statistics, Harvard University - Department of Economics and Econometric Solutions

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Option pricing, semi-parametric, bounds, binomial, time varying, moments, multiperiod