53 citations · 59 across the 6 of their papers we have counts for
3 papers · 1 filter
COVID-19: Tail Risk and Predictive Regressions
Walter Distaso, Rustam Ibragimov, Alexander Semenov +1
The paper focuses on econometrically justified robust analysis of the effects of the COVID-19 pandemic on financial markets in different countries across the World. It provides the…
New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence
Rustam Ibragimov, Rasmus Pedersen, Anton Skrobotov
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the anal…
New robust inference for predictive regressions
Rustam Ibragimov, Jihyun Kim, Anton Skrobotov
We propose two robust methods for testing hypotheses on unknown parameters of predictive regression models under heterogeneous and persistent volatility as well as endogenous, pers…