Harmonic analysis in value at risk calculations

Revista Matematica Iberoamericana

Volumn 17, Issue 2, 2001, Pages 195-219

  Albanese, Claudio ^a   Seco, Luis ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039840514     PISSN: 02132230     EISSN: 22350616     Source Type: Journal    
DOI: 10.4171/RMI/293     Document Type: Article

References (5)

1. Chavel, I., Eigenvalues in Riemannian Geometry. Academic Pres, 1984.
2. J. P. Morgan staff, RiskMetrics Technical Document. Third Edition, 1995.
3. Kotz, S., Johnson, N. L., Boyd, D. W., Distribution of quadratic forms, I and II. Ann. Math. Statist. 38 (1995), 823-848.
4. Quintanilla, M., An Asymptotic Expansion for Value at Risk. M. Sc. Thesis, University of Toronto, 1997.
5. Ruben, H., A new result in the distribution of quadratic forms. Ann. Math. Statist. 33 (1962), 542-570.