Books

Pinelis, I., de la Peña, V., Ibragimov, R., Osȩkowski, A. and Shevtsova, I. (2017). Inequalities and Extremal Problems in Probability and Statistics: Selected Topics. Elsevier, https://www.elsevier.com/books/inequalities-and-extremal-problems-in-probability-and-statistics/pinelis/978-0-12-809818-9

Ibragimov, R. and Prokhorov, A. (2017). Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance. World Scientific, http://www.worldscientific.com/worldscibooks/10.1142/9644

Ibragimov, M., Ibragimov, R. and Prokhorov, A. (2015). Heavy-tailed distributions and robustness in economics and finance. Lecture Notes in Statistics 214, http://www.springer.com/us/book/9783319168760

Research Papers

2017

Ankudinov, A., Ibragimov, R. and Lebedev, O. (2017). Sanctions and the Russian stock market. Research in International Business and Finance 40, 150-16, https://doi.org/10.1016/j.ribaf.2017.01.005

Ankudinov, A., Ibragimov R. and Lebedev, O. (2017). Extreme movements of the Russian stock market and their consequences for management and economic modeling. Applied Econometrics 45, 75-92 (in Russian; Анкудинов А.Б., Ибрагимов Р.М., Лебедев О.В., Экстремальные колебания российского фондового рынка и их последствия для управления и экономического моделирования. Прикладная эконометрика 45, 72-92, 2017 г., http://www.appliedeconometrics.ru/r/articles/article/index.php?article_id_4=2040

Ibragimov, R., D. Jaffee and J. Walden. (2017). Equilibrium with monoline and multiline structures. Review of Finance, https://doi.org/10.1093/rof/rfw073

Ibragimov, M., Ibragimov, R. and Kattuman, P. (2017). Income inequality and price elasticity of market demand: the case of crossing Lorenz curves. Economic Theory, https://link.springer.com/article/10.1007/s00199-017-1037-0

Ibragimov, M. and Ibragimov, R. (2017). Unemployment and output dynamics in CIS countries: Okun’s law revisited. Applied Economics 49, 3453-3479, http://dx.doi.org/10.1080/00036846.2016.1262519

Ibragimov, M. and Ibragimov, R. (2017). Heavy tails and upper-tail inequality: The case of Russia. Empirical Economics, http://dx.doi.org/10.1007/s00181-017-1239-0

Medovikov, I. and Prokhorov, A. (2017). A new measure of vector dependence, with applications to financial risk and contagion. Journal of Financial Econometrics, https://doi.org/10.1093/jjfinec/nbx015

2016

Ibragimov, R. and Prokhorov, A. (2016). Heavy tails and copulas: Limits of diversification revisited. Economics Letters 149, 142-147, https://doi.org/10.1016/j.econlet.2016.10.024

Matsypura, D., Neo, E. and Prokhorov, A. (2016) Estimation of hierarchical Archimedean copulas as a shortest path problem. Economics Letters 149, 131-134, https://doi.org/10.1016/j.econlet.2016.10.034

Research in Progress

Ankudinov, A., Ibragimov, R. and Lebedev, O. Heavy tails and asymmetry of returns in the Russian stock markets. Forthcoming in the Emerging Markets Review.

Ankudinov, A., Ibragimov, R. and Lebedev, O. Modeling extreme movements of the Rouble exchange rate.

Ankudinov, A., Ibragimov, R. and Lebedev, O. Modeling extreme returns in the Russian stock market.

Ankudinov, A., Ibragimov, R. and Lebedev, O. Structural breaks with unknown dates in the Russian financial market.

Gu, Z. and Ibragimov, R. (2017). Tail distribution in emerging markets.

Huang, Z. and Ibragimov, R. (2017). Equity returns and sentiment.

Ibragimov, R. (2017). Robust inference: Market efficiency, volatility clustering, stock return predictability and beyond.