On quadratic forms in multivariate generalized hyperbolic random vectors

被引：3

作者：

Broda, Simon A. ^{[1
]}

Zambrano, Juan Arismendi ^{[2
]}

机构：

[1] Lucerne Univ Appl Sci, Inst Financial Serv IFZ, Suurstoffi 1, CH-6343 Rotkreuz, Switzerland

[2] Natl Univ Ireland, Dept Econ Finance & Accounting, Maynooth, Kildare, Ireland

来源：

BIOMETRIKA | 2021年 / 108卷 / 02期

关键词：

Characteristic function; Conditional Value-at-Risk; Expected shortfall; Saddlepoint approximation; Transform inversion; Two-stage least squares; SMALL SAMPLE PROPERTIES; EXPECTED SHORTFALL; SADDLEPOINT APPROXIMATION; MENDELIAN RANDOMIZATION; WEAK INSTRUMENTS; TIME-SERIES; DISTRIBUTIONS; ESTIMATOR; VARIABLES; PORTFOLIO;

D O I：

10.1093/biomet/asaa067

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

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.

引用

页码：413 / 424

页数：12

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