On quadratic forms in multivariate generalized hyperbolic random vectors

Authors
Publication date 06-2021
Journal Biometrika
Volume | Issue number 108 | 2
Pages (from-to) 413–424
Organisations
  • Faculty of Economics and Business (FEB)
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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.
Document type Article
Note With supplementary file
Language English
Published at
https://doi.org/10.1093/biomet/asaa067 (Final published version)
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