Statistics do not enable us to predict the future with certitude, but they can provide some indication of things to come. The Groupe de recherche en économétrie : inégalité, stabilité et événements extrêmes (Econometrics Research Group: Inequality, Stability and Extreme Events), directed by Russell Davidson, is interested in the statistical calculation of extreme events. This approach is used to analyse many types of activities, and helps governments and financial analysts to manage the risks associated with economic and financial upheavals.
The study of financial market data is an important aspect of this team's work. These markets occasionally experience extreme fluctuations that have a significant impact on individuals, businesses and governments. Not much is known about the ways in which institutions could predict short-term risk in order to protect themselves. The team's researchers are developing risk models for institutions and individual shareholders and foreign exchange holders. Their results will enable better risk management strategies.
This work is also applicable to the distribution of wealth. Russell Davidson presented a lecture on this subject at the annual conference of the Canadian Economics Association in 2010, during which he disclosed some results obtained by the group that greatly improve the reliability of the indexes frequently used to analyse income inequalities.
In addition, the group's members are studying the impact of government on income, through observation of employment insurance, net income, and variations in consumption according to taxation rates. This type of calculation is often based on the presupposition of a regular distribution, which is rarely the case when dealing with real data, so the researchers developed new methodological tools that perform better in applied research.
The researchers' work has been published in internationally renowned journals including Journal of Econometrics, Journal of Business and Economic Statistics and Review of Economic Analysis.
Groupe de recherche en économétrie : inégalité, stabilité et événements extrêmes
Russell Davidson, Université McGill
- Jean-Marie Dufour, Université McGill
- John William Galbraith, Université McGill
- Nikolay Gospodinov, Université Concordia
- Douglas Hodgson, Université du Québec à Montréal
- Victoria Zinde, Université McGill