Multivariate Gram-Charlier densities

Del, Brio E. B., Níguez, T. M. and Perote, J. (2007) Multivariate Gram-Charlier densities. In: 1st International Workshop on Computational and Financial Econometrics, 20 - 22 Apr 2007, Geneva, Switzerland.

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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
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Date Deposited: 13 Jun 2008 15:25
Last Modified: 18 Mar 2016 16:03

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