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.
- Umfang
-
Seite(n): 855-868
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Quantitative Finance, 9(7)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Brio, Esther B. del
Niguez, Trino-Manuel
Perote, Javier
- Ereignis
-
Veröffentlichung
- (wo)
-
Vereinigtes Königreich
- (wann)
-
2009
- DOI
- URN
-
urn:nbn:de:0168-ssoar-221490
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Zeitschriftenartikel
Beteiligte
- Brio, Esther B. del
- Niguez, Trino-Manuel
- Perote, Javier
Entstanden
- 2009
Ähnliche Objekte (12)
Gram-Charlier densities: A multivariate approach
Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Multivariate maximum entropy densities applied for multivariate analysis of financial time series
Multivariate quantile regression using superlevel sets of conditional densities
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
Charlier
Densities, spectral densities and modality
Densities, Spectral Densities and Modality
Charlier, Francois
Charlier, Albert
Charlier, Albert
Gram-Charlier densities: A multivariate approach
Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Multivariate maximum entropy densities applied for multivariate analysis of financial time series
Multivariate quantile regression using superlevel sets of conditional densities
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
Charlier
Densities, spectral densities and modality
Densities, Spectral Densities and Modality
Charlier, Francois
Charlier, Albert
Charlier, Albert
Gram-Charlier densities: A multivariate approach
Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Multivariate maximum entropy densities applied for multivariate analysis of financial time series
Multivariate quantile regression using superlevel sets of conditional densities
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
Charlier
Densities, spectral densities and modality
Densities, Spectral Densities and Modality
Charlier, Francois
Charlier, Albert