Online mini-course "Heavy tailedness, dependence and robustness in finance and economics" by Ibrahimov Rustam Maratovich

From March 7 to March 18, Rustam Ibragimov (Professor at Imperial College London, UK; Chief Researcher at the Center for Econometrics and Business Analytics of St. Petersburg State University) delivered an online course

The course was attended by researchers and postgraduates from other universities. The purpose of the mini-course was to present and discuss in a series of seminars modern methods of sustainable statistical and econometric analysis and modeling of key properties of economic and financial markets, including volatility clusters, nonlinear dependence, the impact of crises, structural shocks and their spread. The result of the event was a discussion of topics such as a steady analysis of the degree of severity of financial returns and other important economic and financial values; methodology of stable statistical and econometric analysis based on consistent estimation of marginal variances of estimates; modern alternative approaches to sustainable analysis based on t-statistics calculated on the basis of parameter estimates for groups of observations; copular dependence models; empirical applications of the models and methods under consideration, as well as discussion of open problems and problems in the areas under consideration.