A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution
AbstractCalculating a large number of tail probabilities or tail quantiles for a given distribution families becomes very challenging, if both the cumulative and the inverse distribution function are not available in closed form. In case of the Gaussian and Student t distribution, quantile approximations are already available. This is not the case for the (symmetric) generalized hyperbolic distribution (GHD) whose popularity steadily increases and which includes both Gaussian and Student t as limiting case. Within this paper we close this gap and derive one possible tail approximation formula for the GHD as well as for the Student t distribution. --
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Bibliographic InfoPaper provided by Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) in its series IWQW Discussion Paper Series with number 05/2009.
Date of creation: 2009
Date of revision:
Generalized hyperbolic distribution; Quantile approximation; Student t distribution;
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