IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v88y2004i2p252-273.html
   My bibliography  Save this article

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

Author

Listed:
  • Jaschke, Stefan
  • Klüppelberg, Claudia
  • Lindner, Alexander

Abstract

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.

Suggested Citation

  • Jaschke, Stefan & Klüppelberg, Claudia & Lindner, Alexander, 2004. "Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 252-273, February.
    • Handle: RePEc:eee:jmvana:v:88:y:2004:i:2:p:252-273
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(03)00100-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:88:y:2004:i:2:p:252-273. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.