𝔖 Bobbio Scriptorium
✦   LIBER   ✦

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

✍ Scribed by Stefan Jaschke; Claudia Klüppelberg; Alexander Lindner

Book ID
104269903
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
255 KB
Volume
88
Category
Article
ISSN
0047-259X

No coin nor oath required. For personal study only.

✦ Synopsis

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.

📜 SIMILAR VOLUMES

The asymptotic behavior of quadratic for
The asymptotic behavior of quadratic forms in -mixing random variables
✍ Fuming Lin 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 649 KB

Let {Z i , i ≥ 1} be a linear process defined by Z t = ∞ j=0 d j ξ t-j with {d j , j ≥ 0} being a regular varying sequence of real numbers and {ξ t , -∞ < t < ∞} being a sequence of φ-mixing random variables. The present paper studies the asymptotic behavior of the quadratic form n k,l=1 µ(kl)Z k Z