Browsing by Subject "Heavy tails"

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  • Heavy tails and asymmetry of returns in the Russian stock market 
    Ankudinov A.; Ibragimov R.; Lebedev O. (2017)
    © 2017 Elsevier B.V. The paper presents the robust estimates of tail indices for financial returns and returns asymmetry in the Russian stock market. We also investigate the relation between individual characteristics of ...
  • Sanctions and the Russian stock market 
    Ankudinov A.; Ibragimov R.; Lebedev O. (2017)
    © 2017 Elsevier B.V.The article presents the robust estimates of extreme movements and heavy-tailedness properties for Russian stock indices returns before and after sanctions were introduced. The obtained results show ...

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