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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. (xsd:string)
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?:dateModified
  • 2009 (xsd:gyear)
?:datePublished
  • 2009 (xsd:gyear)
?:doi
  • 10.1080/14697680902773611 ()
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  • true (xsd:boolean)
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  • en (xsd:string)
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?:issueNumber
  • 7 (xsd:string)
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  • Gram-Charlier densities: A multivariate approach (xsd:string)
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  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 9, 2009, 7, 855-868 (xsd:string)
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?:urn
  • urn:nbn:de:0168-ssoar-221490 ()
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  • 9 (xsd:string)