Sharp estimates for the CDF of quadratic forms of MPE random vectors
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DOI: 10.1016/J.JMVA.2010.03.002
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Other versions of this item:
- 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.
References listed on IDEAS
- Sadefo Kamdem, J. & Genz, A., 2008.
"Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
- Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.
- J. Sadefo Kamdem & A. Genz, 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Post-Print hal-02938642, HAL.
- J. Sadefo Kamdem & A. Genz, 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Post-Print hal-02938579, HAL.
- Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
- Jules Sadefo Kamdem, 2005.
"Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
- Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Papers math/0309211, arXiv.org.
- Jules Sadefo Kamdem, 2011. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," Post-Print hal-02938680, HAL.
- SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, University Library of Munich, Germany.
- Jules Sadefo Kamdem, 2011. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," Post-Print hal-02938594, HAL.
- 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.
- Sadefo Kamdem, J., 2009. "[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 325-336, June.
Citations
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Cited by:
- Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017.
"Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors,"
JRFM, MDPI, vol. 10(1), pages 1-14, February.
- Dobrislav Dobrev & Travis D. Nesmith & Dong Hwan Oh, 2016. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065, Board of Governors of the Federal Reserve System (U.S.).
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Keywords
Statistics . Quadratic function . Quadratic form;Statistics
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