On quadratic forms in multivariate generalized hyperbolic random vectors
| Authors |
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| Publication date |
06-2021
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| Journal |
Biometrika
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| Volume | Issue number |
108 | 2
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| Pages (from-to) |
413–424
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| Organisations |
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Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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Faculty of Economics and Business (FEB)
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| Abstract |
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.
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| Document type |
Article
|
| Note |
With supplementary file
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| Language |
English
|
| Published at |
https://doi.org/10.1093/biomet/asaa067
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