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Gram-Charlier densities: A multivariate approach
[journal article]
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 ... view more
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.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Free Keywords
Empirical finance; Econometrics of financial markets; Financial assets; VaR; Financial Econometrics; Non-Gaussian Distributions; GARCH models; Forecasting Ability; Risk Management; Asymmetry
Document language
English
Publication Year
2009
Page/Pages
p. 855-868
Journal
Quantitative Finance, 9 (2009) 7
DOI
https://doi.org/10.1080/14697680902773611
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)