Journal article | Zeitschriftenartikel
Gram-Charlier densities: A multivariate approach
This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate semi-nonparametric densities proposed in financial econometrics as marginal of its different formulations. Within this family, we focus on the analysis of the specifications that guarantee positivity to obtain well-defined multivariate semi-nonparametric densities. We compare two different multivariate distributions of the family with the multivariate Edgeworth-Sargan, Normal, Student's t and skewed Student's t in an in- and out-sample framework for financial returns data. Our results show that the proposed specifications provide a quite reasonably good performance being so of interest for applications involving the modelling and forecasting of heavy-tailed distributions.
- Extent
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Seite(n): 855-868
- Language
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Englisch
- Notes
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Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
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Quantitative Finance, 9(7)
- Subject
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
- Event
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Geistige Schöpfung
- (who)
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Brio, Esther B. del
Niguez, Trino-Manuel
Perote, Javier
- Event
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Veröffentlichung
- (where)
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Vereinigtes Königreich
- (when)
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2009
- DOI
- URN
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urn:nbn:de:0168-ssoar-221490
- Rights
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
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21.06.2024, 4:27 PM CEST
Data provider
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Brio, Esther B. del
- Niguez, Trino-Manuel
- Perote, Javier
Time of origin
- 2009
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