dc.contributor.author | Brio, Esther B. del | de |
dc.contributor.author | Niguez, Trino-Manuel | de |
dc.contributor.author | Perote, Javier | de |
dc.date.accessioned | 2011-02-23T03:55:00Z | de |
dc.date.accessioned | 2012-08-29T23:11:16Z | |
dc.date.available | 2012-08-29T23:11:16Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/22149 | |
dc.description.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. | en |
dc.language | en | |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Empirical finance; Econometrics of financial markets; Financial assets; VaR; Financial Econometrics; Non-Gaussian Distributions; GARCH models; Forecasting Ability; Risk Management; Asymmetry | |
dc.title | Gram-Charlier densities: A multivariate approach | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 9 | de |
dc.publisher.country | GBR | |
dc.source.issue | 7 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-221490 | de |
dc.date.modified | 2011-03-14T14:45:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 855-868 | |
internal.identifier.classoz | 10905 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680902773611 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_CHANGED | |