Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors
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- Simon A. Broda, 2013. "Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors," Tinbergen Institute Discussion Papers 13-001/III, Tinbergen Institute.
References listed on IDEAS
- repec:adr:anecst:y:1986:i:4:p:05 is not listed on IDEAS
- Magnus, J.R., 1986. "The exact moments of a ratio of quadratic forms in normal variables," Other publications TiSEM c6725407-ac3c-44fd-b6d1-5, Tilburg University, School of Economics and Management.
- Karim M. Abadir & Kaddour Hadri & Elias Tzavalis, 1999.
"The Influence of VAR Dimensions on Estimator Biases,"
Econometric Society, vol. 67(1), pages 163-182, January.
- Karim Abadir & Kaddour Hadri & Elias Tzavalis, "undated". "The Influence of VAR Dimensions on Estimator Biases," Discussion Papers 96/14, Department of Economics, University of York.
- van GARDEREN, Kees Jan, 1997. "Exact geometry of explosive autoregressive models," CORE Discussion Papers 1997068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Simon A. Broda & Raymond Kan, 2016. "On distributions of ratios," Biometrika, Biometrika Trust, vol. 103(1), pages 205-218.
- Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
- Arismendi, Juan C. & Broda, Simon, 2017. "Multivariate elliptical truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 29-44.
More about this item
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-31 (All new papers)
- NEP-ECM-2013-08-31 (Econometrics)
- NEP-RMG-2013-08-31 (Risk Management)
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