Rustam Ibragimov : Citation Profile

Imperial College (1% share)
New Economic School (NES) (99% share)

14

H index

17

i10 index

1334

Citations

RESEARCH PRODUCTION:

47

Articles

36

Papers

1

Books

8

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 51
   Journals where Rustam Ibragimov has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 38 (2.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pib6
   Updated: 2026-03-11    RAS profile: 2026-02-19    
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Relations with other researchers

Works with:

Skrobotov, Anton (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rustam Ibragimov.

Is cited by:

González-Val, Rafael (31)

Duranton, Gilles (23)

Suedekum, Jens (19)

Phillips, Peter (18)

Combes, Pierre-Philippe (18)

Gabaix, Xavier (16)

Gobillon, Laurent (14)

Toda, Alexis Akira (14)

Carvalho, Vasco (13)

Schmidheiny, Kurt (12)

Wang, Yulong (12)

Cites to:

Gabaix, Xavier (76)

Phillips, Peter (32)

Flachaire, Emmanuel (29)

Cowell, Frank (24)

Ibragimov, Marat (20)

Piketty, Thomas (20)

de Vries, Casper (17)

Saez, Emmanuel (15)

Davidson, Russell (12)

Jansen, Dennis (12)

Dufour, Jean-Marie (10)

Main data

Where Rustam Ibragimov has published?

Journals with more than one article published# docs
Econometric Theory4
Statistics & Probability Letters3
Economic Theory3
Journal of Banking & Finance2
Insurance: Mathematics and Economics2
The Review of Financial Studies2
Journal of Business & Economic Statistics2
Emerging Markets Review2
Dependence Modeling2
Annals of Finance2

Working Papers Series with more than one paper published# docs
Scholarly Articles / Harvard University Department of Economics11
Papers / arXiv.org5
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University3
wiiw Balkan Observatory Working Papers / The Vienna Institute for International Economic Studies, wiiw2
Yale School of Management Working Papers / Yale School of Management2

Recent works citing Rustam Ibragimov (2026 and 2025)

YearTitle of citing document
2025Firm-level production networks: what do we (really) know?. (2025). Lafond, François ; Hoefer, Mads ; Borsos, Andrs ; Bacilieri, Andrea ; Astudillo-Estvez, Pablo. In: INET Oxford Working Papers. RePEc:amz:wpaper:2025-14.

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2025A $t$-test for synthetic controls. (2024). Zhu, Yinchu ; Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1812.10820.

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2024Policy design in experiments with unknown interference. (2024). Viviano, Davide. In: Papers. RePEc:arx:papers:2011.08174.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Ardia, David ; Laurent, S'Ebastien ; Sessinou, Rosnel. In: Papers. RePEc:arx:papers:2403.17127.

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2025Risk exchange under infinite-mean Pareto models. (2024). Chen, Yuyu ; Wang, Ruodu ; Embrechts, Paul. In: Papers. RePEc:arx:papers:2403.20171.

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2025Early warning systems for financial markets of emerging economies. (2024). Prokhorov, Artem ; Sokolovskiy, Evgeniy ; Kraevskiy, Artem. In: Papers. RePEc:arx:papers:2404.03319.

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2025Randomization Inference: Theory and Applications. (2025). Shaikh, Azeem ; Romano, Joseph P ; Ritzwoller, David M. In: Papers. RePEc:arx:papers:2406.09521.

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2024Infinite-mean models in risk management: Discussions and recent advances. (2024). Chen, Yuyu ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2408.08678.

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2025Risk aggregation and stochastic dominance for a class of heavy-tailed distributions. (2024). Chen, Yuyu ; Shneer, Seva. In: Papers. RePEc:arx:papers:2408.15033.

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2024Why you should also use OLS estimation of tail exponents. (2024). Trafane Oliveira Santos, Thiago ; Cajueiro, Daniel Oliveira. In: Papers. RePEc:arx:papers:2409.10448.

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2025Some remarks on the effect of risk sharing and diversification for infinite mean risks. (2025). Muller, Alfred. In: Papers. RePEc:arx:papers:2411.10139.

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2025Using Multiple Outcomes to Adjust Standard Errors for Spatial Correlation. (2025). DellaVigna, Stefano ; Ritzwoller, David M ; Kim, Woojin ; Imbens, Guido. In: Papers. RePEc:arx:papers:2504.13295.

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2025Stochastic dominance for linear combinations of infinite-mean risks. (2025). Hu, Taizhong ; Chen, Yuyu ; Shneer, Seva ; Zou, Zhenfeng. In: Papers. RePEc:arx:papers:2505.01739.

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2025A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data. (2025). Shi, Zhentao ; Xie, Haitian. In: Papers. RePEc:arx:papers:2505.22388.

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2025Approximate Factor Model with S-vine Copula Structure. (2025). Li, Yu-Ning ; Han, Jialing. In: Papers. RePEc:arx:papers:2508.11619.

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2025Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions. (2025). Schneider, Ulrike ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2510.07204.

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2025From Micro-Distributions to Macro-Regularities: A Critique and Reconstruction of the Production Function Based on the Maximum Entropy Principle. (2025). Liuh, Jihyuan. In: Papers. RePEc:arx:papers:2512.03812.

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2024Racing to Zipfs law: Race and metropolitan population size 1910–2020. (2024). Fernholz, Ricardo ; Kramer, Rory. In: Journal of Regional Science. RePEc:bla:jregsc:v:64:y:2024:i:3:p:649-670.

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2025Deep Trade Agreements and Heterogeneous Firms’ Exports. (2025). Orefice, Gianluca ; Ruta, Michele ; Neri-Lain, Matteo. In: Working Papers. RePEc:cii:cepidt:2025-11.

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2024Vermögensverteilung in Österreich: eine Analyse auf Basis des HFCS 2021/22. (2024). Kapeller, Jakob ; Hornykewycz, Anna ; Wildauer, Rafael ; Heck, Ines. In: Working Paper Reihe der AK Wien - Materialien zu Wirtschaft und Gesellschaft. RePEc:clr:mwugar:255.

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2024Firms under fire! How insecurity affects formal firms’ existence. (2024). Neri-Lain, Matteo. In: Working Papers. RePEc:dia:wpaper:dt202409.

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2025Reprint of: The capital market consequence of sustained abnormal Audit fees: Evidence from stock price crash risk. (2025). Song, Hakjoon ; Park, Jong Chool ; Lee, Sang Mook. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:1:s0890838925000058.

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2025Oil shocks greasing the wheels of Islamic stocks: An explorative forecasting analysis. (2025). Raheem, Ibrahim D ; Akinkugbe, Oluyele ; Vo, Xuan Vinh. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:546-557.

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2025Integrating learning platforms within regular school time: experimental evidence from Chilean primary schools. (2025). Bottan, Nicolas ; Araya, Roberto ; Ortiz, Elena Arias ; Cristia, Julian. In: Economics of Education Review. RePEc:eee:ecoedu:v:106:y:2025:i:c:s0272775725000275.

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2024The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity. (2024). Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300341x.

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2024Is Newey–West optimal among first-order kernels?. (2024). Kolokotrones, Thomas ; Stock, James H ; Walker, Christopher D. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407623000301.

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2024Wild bootstrap inference for instrumental variables regressions with weak and few clusters. (2024). Zhang, Yichong ; Wang, Wenjie. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000733.

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2024On the performance of the Neyman Allocation with small pilots. (2024). Cai, Yong ; Rafi, Ahnaf. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001398.

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2024On uniform confidence intervals for the tail index and the extreme quantile. (2024). Sasaki, Yuya ; Wang, Yulong. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002100.

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2025Inference on quantile processes with a finite number of clusters. (2025). Hagemann, Andreas. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624000186.

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2025Panel cointegrating polynomial regression analysis and an illustration with the environmental kuznets curve. (2025). Wagner, Martin ; de Jong, Robert M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:135-165.

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2025Diversification for infinite-mean Pareto models without risk aversion. (2025). Zou, Zhenfeng ; Wang, Ruodu ; Hu, Taizhong ; Chen, Yuyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:341-350.

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2024The correlated trading and investment performance of individual investors. (2024). Zhao, Jing ; Lin, Tse-Chun ; Kuo, Wei-Yu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000574.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2025How does ESG affect systemic tail risk?. (2025). Liu, Xiaoxing ; Wu, Yizhong. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002790.

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2025Systemic risk from overlapping portfolios: A multi-objective optimization framework. (2025). Maringer, Dietmar ; Sulas, Alessandro ; Paterlini, Sandra. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007269.

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2025Bank diversity and financial contagion. (2025). Zazzaro, Alberto ; Caiazzo, Emmanuel. In: Journal of Financial Stability. RePEc:eee:finsta:v:77:y:2025:i:c:s157230892500021x.

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2025The origin of financial instability and systemic risk: Do bank business models matter?. (2025). Bongini, Paola ; Ayadi, Rym ; Cucinelli, Doriana ; Casu, Barbara. In: Journal of Financial Stability. RePEc:eee:finsta:v:78:y:2025:i:c:s1572308925000324.

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2025The standard errors of persistence. (2025). conley, timothy ; Kelly, Morgan. In: Journal of International Economics. RePEc:eee:inecon:v:153:y:2025:i:c:s0022199624001545.

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2025Risk exchange under infinite-mean Pareto models. (2025). Chen, Yuyu ; Embrechts, Paul ; Wang, Ruodu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000782.

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2024Comparing forecasting performance with panel data. (2024). Zhu, Yinchu ; Qu, Ritong ; Timmermann, Allan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:918-941.

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2025Geographic diversification, climate risk, and bank lending: Evidence from farm loans. (2025). Islam, Emdad ; Singh, Mandeep. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:63:y:2025:i:c:s1042957325000208.

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2024Getting the right tail right: Modeling tails of health expenditure distributions. (2024). Ziebarth, Nicolas ; Karlsson, Martin ; Wang, Yulong. In: Journal of Health Economics. RePEc:eee:jhecon:v:97:y:2024:i:c:s0167629624000572.

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2024Matching, centrality and the urban network. (2024). Sidib, Modibo ; Schmutz-Bloch, Benot. In: Journal of Urban Economics. RePEc:eee:juecon:v:144:y:2024:i:c:s0094119024000767.

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2025A better delineation of U.S. metropolitan areas. (2025). Rappaport, Jordan ; Humann, Mckenzie. In: Journal of Urban Economics. RePEc:eee:juecon:v:149:y:2025:i:c:s0094119025000464.

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2025A parsimonious dynamic mixture for heavy-tailed distributions. (2025). Bee, Marco. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:230:y:2025:i:c:p:193-206.

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2025Sectoral similarity of banks’ business loans and its negative externality in China. (2025). Yan, Guan ; Liu, Zhidong ; Trck, Stefan ; Gao, Hongwei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000423.

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2024Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets: Comparing the impacts of three Stock Connect programs. (2024). Yao, Yinhong ; Chen, Wei ; Li, Jingyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1217-1233.

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2025Wasserstein asymptotics for Brownian motion on the flat torus and Brownian interlacements. (2025). Trevisan, Dario ; Mariani, Mauro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:183:y:2025:i:c:s0304414925000365.

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2025Information bounds for Gaussian copula parameter in stationary semiparametric Markov models. (2025). Chen, Xiaohong ; Yi, Yanping. In: Statistics & Probability Letters. RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224002232.

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2025Inferred Loss Rate as a Credit Risk Measure in the Bulgarian Banking System. (2025). Boutchaktchiev, Vilislav. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1462-:d:1645779.

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2025An Anatomy of Urbanization in Sub-Saharan Africa. (2025). Nakamura, Shohei ; Roberts, Mark ; Gorin, Clment ; Combes, Pierre-Philippe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-05446319.

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2025Dealing with Censored Earnings in Register Data. (2025). schröder, carsten ; Tchokni, Yogam ; Schrder, Carsten ; Schluter, Christian ; Retter, Isabella ; Knig, Johannes ; Beckmannshagen, Mattis. In: Post-Print. RePEc:hal:journl:hal-05084494.

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2025An Anatomy of Urbanization in Sub-Saharan Africa. (2025). Nakamura, Shohei ; Roberts, Mark ; Gorin, Clment ; Combes, Pierre-Philippe. In: Post-Print. RePEc:hal:journl:hal-05446319.

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2025The t-statistic approach to inference for inequality indices: the issue of grouping variability. (2025). Hérault, Nicolas ; Jenkins, Stephen P. In: Working Papers. RePEc:inq:inqwps:ecineq2025-686.

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2025The T-Statistic Approach to Inference for Inequality Indices: The Issue of Grouping Variability. (2025). Herault, Nicolas ; Jenkins, Stephen P. In: IZA Discussion Papers. RePEc:iza:izadps:dp17972.

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2025Wealth survey calibration using income tax data. (2025). Kol, Daniel. In: International Tax and Public Finance. RePEc:kap:itaxpf:v:32:y:2025:i:3:d:10.1007_s10797-024-09849-6.

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2025Nonparametric Continuous Time Regressions with Functional Coefficients. (2025). Nguyen, Nuong ; Kim, Jihyun ; Choi, Mijung. In: Korean Economic Review. RePEc:kea:keappr:ker-20250101-41-1-05.

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2025Management practices and manufacturing firm responses to a randomized energy audit. (2025). Karplus, Valerie J ; Zhang, DA. In: Nature Energy. RePEc:nat:natene:v:10:y:2025:i:5:d:10.1038_s41560-025-01729-5.

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2024Power-law behavior and inequality in the upper tail of wealth, income and consumption: evidence from India. (2024). Kumar, Rishabh. In: OSF Preprints. RePEc:osf:osfxxx:298js_v1.

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2025Spatial-temporal evolution of the allometric relationship between urban economic and health resources in the Yangtze River Delta urban agglomeration. (2025). Song, Qianwen ; Liu, Huan ; He, Xingxing ; Jiang, Zicheng ; Ge, Chengzhi ; Jing, Deng. In: PLOS ONE. RePEc:plo:pone00:0314315.

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2024On discriminating between lognormal and Pareto tail: an unsupervised mixture-based approach. (2024). Bee, Marco. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:18:y:2024:i:2:d:10.1007_s11634-022-00497-4.

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2024The rise and fall of urban concentration in Britain: Zipf, Gibrat and Gini across two centuries. (2024). Lyons, Ronan ; Tirindelli, Elisa Maria. In: The Annals of Regional Science. RePEc:spr:anresc:v:73:y:2024:i:4:d:10.1007_s00168-024-01306-w.

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2024The urban population agglomeration capacity and its impact on economic efficiency in the Yangtze River Delta Urban Agglomeration. (2024). Liu, Yanghui ; Zhu, Yiheng ; Cai, Anning ; Lin, Jinping ; Yang, Shan. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:6:d:10.1007_s10668-023-03242-9.

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2025Deviation and Moment Inequalities for Banach-Valued U-statistics. (2025). Giraudo, Davide. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:38:y:2025:i:2:d:10.1007_s10959-025-01410-3.

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2025The future of urban hierearchy and Zipf law: ARIMA and BATS forecasting. (2025). Duran, Hasan Engin. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:18:y:2025:i:1:d:10.1007_s12076-025-00408-z.

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2024A statistical examination of wealth inequality within the Forbes 400 richest families in the United States from 2000 to 2023. (2024). Pan, Qing ; Luo, Richard ; Gastwirth, Joseph L. In: METRON. RePEc:spr:metron:v:82:y:2024:i:3:d:10.1007_s40300-024-00267-6.

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2024Assessment of Regional Polycentricity of the Settlement Pattern: Analysis of Modern Methods Based on Russian Data. (2024). Timiryanova, V M ; Kh, D. In: Regional Research of Russia. RePEc:spr:rrorus:v:14:y:2024:i:2:d:10.1134_s2079970524600197.

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2024A novel copula-based approach for parametric estimation of univariate time series through its covariance decay. (2024). , Slvia ; Prass, Taiane S ; Pumi, Guilherme. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:2:d:10.1007_s00362-023-01418-z.

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2025Bank leverage and systemic risk: Impact of bank risk‐taking and inter‐bank business. (2025). Zhang, Wenzhe ; Lee, Chienchiang. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1450-1474.

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2025Standard Errors for Difference‐in‐Difference Regression. (2025). Hansen, Bruce E. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:3:p:291-309.

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2024Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments. (2024). Le, Trung H. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:402-414.

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2025Portfolio Selection under Systemic Risk. (2025). Olmo, Jose ; Lin, Weidong ; Taamouti, Abderrahim. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:57:y:2025:i:4:p:905-949.

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2025Power laws in socio-economics. (2025). Weber, Jan David ; Schulz, Jan. In: BERG Working Paper Series. RePEc:zbw:bamber:314423.

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Works by Rustam Ibragimov:

YearTitleTypeCited
2023New robust inference for predictive regressions In: Papers.
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2024NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS.(2024) In: Econometric Theory.
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This paper has nother version. Agregated cites: 2		article
2023New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence In: Papers.
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2021COVID-19: Tail Risk and Predictive Regressions In: Papers.
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2022COVID-19: Tail risk and predictive regressions.(2022) In: PLOS ONE.
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This paper has nother version. Agregated cites: 0		article
2021Robust Inference on Income Inequality: $t$-Statistic Based Approaches In: Papers.
[Full Text][Citation analysis]		paper1
2025Robust Cauchy-Based Methods for Predictive Regressions In: Papers.
[Full Text][Citation analysis]		paper0
2010t-Statistic Based Correlation and Heterogeneity Robust Inference In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article112
2011Rank ˆ’ 1€‰/€‰2: A Simple Way to Improve the OLS Estimation of Tail Exponents In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article176
2010Pricing and Capital Allocation for Multiline Insurance Firms In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article11
1999Analogues of Khintchine, Marcinkiewicz–Zygmund and Rosenthal Inequalities for Symmetric Statistics In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article3
2007EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF α-SYMMETRIC DISTRIBUTIONS In: Econometric Theory.
[Full Text][Citation analysis]		article4
2008REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS In: Econometric Theory.
[Full Text][Citation analysis]		article37
2004Regression Asymptotics Using Martingale Convergence Methods.(2004) In: Cowles Foundation Discussion Papers.
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This paper has nother version. Agregated cites: 37		paper
2008Regression asymptotics using martingale convergence methods..(2008) In: Scholarly Articles.
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2009COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES In: Econometric Theory.
[Full Text][Citation analysis]		article42
2005Sign Tests for Dependent Observations and Bounds for Path-Dependent Options In: Cowles Foundation Discussion Papers.
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2005Sign Tests for Dependent Observations and Bounds for Path-Dependent Options.(2005) In: Yale School of Management Working Papers.
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2005Randomized Sign Test for Dependent Observations on Discrete Choice under Risk In: Cowles Foundation Discussion Papers.
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2004Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions In: Econometric Society 2004 Latin American Meetings.
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2016Heavy tails and copulas: Limits of diversification revisited In: Economics Letters.
[Full Text][Citation analysis]		article10
2014On the robustness of location estimators in models of firm growth under heavy-tailedness In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2019Sign tests for dependent observations In: Econometrics and Statistics.
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2006Sign Tests for Dependent Observations.(2006) In: Harvard Institute of Economic Research Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2017Heavy tails and asymmetry of returns in the Russian stock market In: Emerging Markets Review.
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2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets In: Emerging Markets Review.
[Full Text][Citation analysis]		article5
2018The “Cubic Law of the Stock Returns” in emerging markets In: Journal of Empirical Finance.
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2026The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics In: Insurance: Mathematics and Economics.
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2008Portfolio diversification under local and moderate deviations from power laws In: Insurance: Mathematics and Economics.
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2008Portfolio Diversification under Local and Moderate Deviations from Power Laws..(2008) In: Scholarly Articles.
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2007The limits of diversification when losses may be large In: Journal of Banking & Finance.
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2006The Limits of Diversification When Losses May Be Large.(2006) In: Harvard Institute of Economic Research Working Papers.
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2007The limits of diversification when losses may be large..(2007) In: Scholarly Articles.
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2013Emerging markets and heavy tails In: Journal of Banking & Finance.
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2011Diversification disasters In: Journal of Financial Economics.
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2002A Characterization of Joint Distribution of Two-Valued Random Variables and Its Applications In: Journal of Multivariate Analysis.
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2017Sanctions and the Russian stock market In: Research in International Business and Finance.
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2001The best constant in the Rosenthal inequality for nonnegative random variables In: Statistics & Probability Letters.
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2008Heavy-tailedness and threshold sex determination In: Statistics & Probability Letters.
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2008Heavy-tailedness and Threshold Sex Determination..(2008) In: Scholarly Articles.
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2008Optimal constants in the Rosenthal inequality for random variables with zero odd moments In: Statistics & Probability Letters.
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2008Optimal Constants in the Rosenthal Inequality for Random Variables with Zero Odd Moments..(2008) In: Scholarly Articles.
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2023A Market Crash or Tail Risk? Heavy Tails and Asymmetry of Returns in the Chinese Stock Market In: Advances in Econometrics.
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2005On Efficiency of Linear Estimators Under Heavy-Tailedness In: Harvard Institute of Economic Research Working Papers.
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2005Portfolio Diversification and Value at Risk Under Thick-Tailedness In: Harvard Institute of Economic Research Working Papers.
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2009Portfolio diversification and value at risk under thick-tailedness.(2009) In: Quantitative Finance.
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2005Portfolio Diversification and Value At Risk Under Thick-Tailedness.(2005) In: Yale School of Management Working Papers.
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2005Demand-Driven Innovation and Spatial Competition Over Time Under Heavy-Tailed Signals In: Harvard Institute of Economic Research Working Papers.
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2005Optimal Bundling Strategies For Complements And Substitutes With Heavy-Tailed Valuations In: Harvard Institute of Economic Research Working Papers.
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2005A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory In: Harvard Institute of Economic Research Working Papers.
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2008A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory..(2008) In: Scholarly Articles.
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2008A tale of two tails: peakedness properties in inheritance models of evolutionary theory.(2008) In: Journal of Evolutionary Economics.
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2005Copula-Based Dependence Characterizations and Modeling for Time Series In: Harvard Institute of Economic Research Working Papers.
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2006Log(Rank-1/2): A Simple Way to Improve the OLS Estimation of Tail Exponents In: Harvard Institute of Economic Research Working Papers.
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2006Portfolio Diversification Under Local, Moderate and Global Deviations From Power Laws In: Harvard Institute of Economic Research Working Papers.
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2002The exact constant in the Rosenthal inequality for random variables with mean zero In: Scholarly Articles.
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2007Market Demand Elasticity and Income Inequality In: Scholarly Articles.
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2007Market Demand Elasticity and Income Inequality.(2007) In: Economic Theory.
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2007Efficiency of linear estimators under heavy-tailedness: convolutions of [alpha]-symmetric distributions. In: Scholarly Articles.
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2007Thou shalt not diversity: Why Two of Every Sort? In: Scholarly Articles.
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2003On Extremal Distributions and Sharp L[sub]p-Bounds For Sums of Multilinear Forms. In: Scholarly Articles.
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2010Optimal Bundling Strategies Under Heavy-Tailed Valuations In: Management Science.
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2015Bounds for path-dependent options In: Annals of Finance.
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2011Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks In: Annals of Finance.
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2011Rank - 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents.(2011) In: Journal of Business & Economic Statistics.
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2024New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence† In: Journal of Financial Econometrics.
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2009Nondiversification Traps in Catastrophe Insurance Markets In: The Review of Financial Studies.
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2009Nondiversification Traps in Catastrophe Insurance Markets.(2009) In: The Review of Financial Studies.
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2017Extreme movements of the Russian stock market and their consequences for management and economic modeling In: Applied Econometrics.
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2018Heavy tails and upper-tail inequality: The case of Russia In: Empirical Economics.
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2000A method of calculating the spectral radius of a nonnegative matrix and its applications In: Economic Theory.
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2001Exact Estimates for Moments of Random Bilinear Forms In: Journal of Theoretical Probability.
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2015Fat tails and copulas: limits of diversification revisited In: Working Papers.
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2016Inference with Few Heterogeneous Clusters In: The Review of Economics and Statistics.
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2010Measuring Inequality in CIS Countries: Theory and Empirics In: wiiw Balkan Observatory Working Papers.
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2012Robust Analysis of Income Inequality Dynamics in Russia: t-Statistic Based Approaches In: wiiw Balkan Observatory Working Papers.
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2017Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance In: World Scientific Books.
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2017Introduction and Overview In: World Scientific Book Chapters.
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2017Portfolio Diversification under Independent Fat Tailed Risks In: World Scientific Book Chapters.
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2017From Independence to Dependence via Copulas and U-statistics In: World Scientific Book Chapters.
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2017Limits of Diversification under Fat Tails and Dependence In: World Scientific Book Chapters.
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2017Robustness of Econometric Methods to Copula Misspecification and Heavy Tails In: World Scientific Book Chapters.
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2017Copula Tests Using Information Matrix In: World Scientific Book Chapters.
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2017Summary and Conclusion In: World Scientific Book Chapters.
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