@misc{Schluter2009tail,
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.},
address = {N\"{u}rnberg},
author = {Stephan Schl\"{u}ter and Matthias J. Fischer},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; Generalized hyperbolic distribution; Quantile approximation; Student t distribution; Statistische Verteilung; Theorie},
language = {eng},
number = {05/2009},
publisher = {Friedrich-Alexander-Universit\"{a}t Erlangen-N\"{u}rnberg, Institut f\"{u}r Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)},
series = {IWQW Discussion Papers},
title = {A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution},
url = {http://hdl.handle.net/10419/29554},
year = {2009}
}