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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/29554
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| Title: | | A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution  |
| Authors: | | Schlüter, Stephan Fischer, Matthias J. |
| Issue Date: | | 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 |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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