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.
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- 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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