Heavy-Tails and Robust Estimation in Economics and Finance

“Heavy-Tails and Robust Estimation in Economics and Finance” conference will be held on May 24 and 25 at the Nova School of Business and Economics in Carcavelos, Portugal.

Many of the methods of analysis in finance and economics developed over the past decades rest upon the assumption that the data is normally distributed. But this assumption is frequently not empirically supported. Frequently it is found that data exhibit, among other things, excess kurtosis, i.e. heavy tails. Hence, the need arises to carefully re-examine the distributional features of many financial variables and to move away from the normality assumption in the direction of distributions with heavier tails. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity, and dependence in observations.
The objective of this conference is to discuss recent econometric developments which address important features typically found in economic and financial data.