On quadratic forms in multivariate generalized hyperbolic random vectors
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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.
2002 ◽
Vol 30
(4)
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pp. 568-579
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2013 ◽
Vol 21
(4)
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pp. 1386-1393
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1980 ◽
Vol 9
(1)
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pp. 81-86
1972 ◽
Vol 67
(339)
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pp. 625-627
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