Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors

We derive results on the asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta-gamma models in financial risk management approximating portfolio returns. Quantile estimation corresponds to the estimation of the Value-at-Risk, which is a serious problem in high dimension.

MoreLess

Year of publication:	2004
Authors:	Jaschke, Stefan ; Klüppelberg, Claudia ; Lindner, Alexander
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 88.2004, 2, p. 252-273
Publisher:	Elsevier
Keywords:	Quadratic forms of Gaussian vectors Tail behavior Delta-gamma method Value-at-Risk Quantile estimation

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005199787