Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29554
Authors: 
Schlüter, Stephan
Fischer, Matthias J.
Year of Publication: 
2009
Series/Report no.: 
IWQW discussion paper series 05/2009
Abstract: 
Calculating a large number of tail probabilities or tail quantiles for a given distribution families becomes very challenging, if both the cumulative and the inverse distribution function are not available in closed form. In case of the Gaussian and Student t distribution, quantile approximations are already available. This is not the case for the (symmetric) generalized hyperbolic distribution (GHD) whose popularity steadily increases and which includes both Gaussian and Student t as limiting case. Within this paper we close this gap and derive one possible tail approximation formula for the GHD as well as for the Student t distribution.
Subjects: 
Generalized hyperbolic distribution
Quantile approximation
Student t distribution
Document Type: 
Working Paper

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