Níguez, Trino Manuel and Perote, Javier (2012) Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions. Oxford Bulletin of Economics and Statistics, 74 (4). pp. 600-627. ISSN 0305-9049Full text not available from this repository.
This article presents a new semi-nonparametric (SNP) density function, named Positive Edgeworth-Sargan (PES). We show that this distribution belongs to the family of (positive) Gram-Charlier (GC) densities and thus it preserves all the good properties of this type of SNP distributions but with a much simpler structure. The in- and out-of-sample performance of the PES is compared with symmetric and skewed GC distributions and other widely used densities in economics and finance. The results confirm the PES as a good alternative to approximate financial returns distribution, specially when skewness is not severe.
|Subjects:||University of Westminster > Westminster Business School|
|Depositing User:||Rachel Wheelhouse|
|Date Deposited:||05 Nov 2012 14:34|
|Last Modified:||28 May 2013 13:21|
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