On quadratic forms in multivariate generalized hyperbolic random vectors-Reference-Cited by-同舟云学术

On quadratic forms in multivariate generalized hyperbolic random vectors

Published:2020-08-26 Issue:2 Volume:108 Page:413-424
ISSN:0006-3444
Container-title:Biometrika
language:en
Short-container-title:

Author:

Broda Simon A¹,Zambrano Juan Arismendi²

Affiliation:

1. Institute of Financial Services IFZ, Lucerne University of Applied Sciences, Suurstoffi 1, 6343 Rotkreuz, Switzerland

2. Department of Economics, Finance and Accounting, National University of Ireland, Maynooth, County Kildare, Ireland juancarlos.arismendizambrano@mu.ie

Abstract

Summary This article presents exact and approximate expressions for tail probabilities and partial moments of quadratic forms in multivariate generalized hyperbolic random vectors. The derivations involve a generalization of the classic inversion formula for distribution functions (Gil-Pelaez, 1951). Two numerical applications are considered: the distribution of the two-stage least squares estimator and the expected shortfall of a quadratic portfolio.

Publisher

Oxford University Press (OUP)

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,General Agricultural and Biological Sciences,Agricultural and Biological Sciences (miscellaneous),General Mathematics,Statistics and Probability

Link

http://academic.oup.com/biomet/advance-article-pdf/doi/10.1093/biomet/asaa067/34045864/asaa067.pdf

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