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

  • Harvard University - Department of Economics

    • Email
    • Tel: 617-496-4795
    • Fax: 617-495-7730
SCHOLARLY PAPERS

18

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5,737

TOTAL CITATIONS
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Top 8,042

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201

Scholarly Papers (18)

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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 1,185 (36,259)
Citation 4

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

2.

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

Downloads 1,082 (41,357)
Citation 77

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 1,001 (45,465)
Citation 44

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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 Last Revised: 10 Jun 2023
Rustam Ibragimov and Xavier Gabaix
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 81 (610,910)
Citation 33

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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 647 (82,687)
Citation 12

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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 483 (118,949)
Citation 12

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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 389 (153,229)
Citation 67

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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 California, Berkeley - Finance Group
Downloads 333 (181,700)

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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 267 (228,789)
Citation 4

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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 California, Berkeley - Finance Group
Downloads 239 (255,552)
Citation 16

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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

Number of pages: 32 Posted: 06 Jun 2005
Rustam Ibragimov and Donald Brown
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 205 (295,425)
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 California, Berkeley - Finance Group
Downloads 193 (312,350)
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

Number of pages: 43 Posted: 27 Jul 2004
Rustam Ibragimov and Peter C. B. Phillips
Harvard University - Department of Economics and University of Auckland Business School
Downloads 167 (355,175)
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 140 (410,810)

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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 124 (451,377)
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 97 (539,519)

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

15.

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 97 (539,519)

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

16.

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 89 (573,593)
Citation 2

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

17.

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 California, Berkeley - Finance Group

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18.

Option Bounds

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Option Bounds

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

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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