Multivariate Gram-Charlier densities

Del Brio, E.B., Ñíguez, T.M. and Perote, J. (2007) Multivariate Gram-Charlier densities. In: Annual Meeting of the Journal of Financial Econometrics, Oct 2007, Faro, Portugal..

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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 Edgeworth-Sargan (hereafter ES) or Gram-Charlier densities as marginal distributions of the different formulations. Within this family, we focus on the specifications that guarantee positivity so obtaining a well-defined multivariate density. We compare different "positive" multivariate distributions of the family with both the multivariate ES and the Normal in an in- and out-sample framework for financial returns data. Our results show that the proposed model provides a quite reasonably good performance being so of interest for applications involving the modelling and forecasting of heavy-tailed distributions.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Multivariate distributions, Gram-Charlier and Edgeworth-Sargan densities, GARCH models, financial data
Subjects: University of Westminster > Westminster Business School
SWORD Depositor: repository@westminster.ac.uk
Depositing User: repository@westminster.ac.uk
Date Deposited: 13 Jun 2008 15:21
Last Modified: 14 Sep 2017 13:26
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/5114

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