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Multivariate Gram-Charlier densities

Del Brio, Esther B. and Níguez, Trino Manuel and Perote, Javier (2007) Multivariate Gram-Charlier densities. In: 1st International Workshop on Computational and Financial Econometrics, 20 - 22 Apr 2007, Geneva, Switzerland. (Submitted)

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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
Research Community:University of Westminster > Westminster Business School
ID Code:5115
Deposited On:13 Jun 2008 16:25
Last Modified:01 Nov 2012 15:36

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