13-001/III - Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

• Author
  Simon A. Broda, University of Amsterdam
• Publication date
  January 8, 2013

• Keywords
  Finite Samples; Characteristic Function; Transform Inversion; 2SLS; CVaR; Expected Shortfall
• JEL
  C16, C36, C63, G11, G32