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Gram-Charlier densities : A multivariate approach


Brio, Esther B. del; Niguez, Trino-Manuel; Perote, Javier


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221490

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Abstract 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.
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter Empirical finance; Econometrics of financial markets; Financial assets; VaR; Financial Econometrics; Non-Gaussian Distributions; GARCH models; Forecasting Ability; Risk Management; Asymmetry
Publikationsjahr 2009
Seitenangabe S. 855-868
Zeitschriftentitel Quantitative Finance, 9 (2009) 7
DOI http://dx.doi.org/10.1080/14697680902773611
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)