Multivariate Elliptical Truncated Moments

Juan Arismendi Zambrano () and Simon Broda

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: In this study, we derived analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth-, first-, and second-order moments of quadratic forms of the multivariate normal, Student's t, and generalised hyperbolic distributions. The resulting formulae were tested in a numerical application to calculate an analytic expression of the expected shortfall of quadratic portfolios with the benefit that moment based sensitivity measures can be derived from the analytic expression. The convergence rate of the analytic expression is fast { one iteration { for small closed integration domains, and slower for open integration domains when compared to the Monte Carlo integration method. The analytic formulae provide a theoretical framework for calculations in robust estimation, robust regression, outlier detection, design of experiments, and stochastic extensions of deterministic elliptical curves results.

Keywords: Multivariate truncated moments; Quadratic forms; Elliptical Truncation; Tail moments; Parametric distributions; Elliptical functions (search for similar items in EconPapers)
Date: 2016-09
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Journal Article: Multivariate elliptical truncated moments (2017)
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