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Gram-Charlier densities

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Author Info
Jondeau, Eric
Rockinger, Michael

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File URL: http://www.sciencedirect.com/science/article/B6V85-438BP8J-1/2/122845eb6bc18f652f6c8689f69336f3
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 25 (2001)
Issue (Month): 10 (October)
Pages: 1457-1483
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Handle: RePEc:eee:dyncon:v:25:y:2001:i:10:p:1457-1483

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  2. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September. [Downloadable!]
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  3. Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation," Working Papers wp2005_0509, CEMFI. [Downloadable!]
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  4. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics. [Downloadable!]
  5. Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics. [Downloadable!]
  6. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Documents de Travail 79, Banque de France. [Downloadable!]
  7. Ángel León & Gonzalo Rubio & Gregorio Serna, 2004. "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  8. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Documents de Travail 188, Banque de France. [Downloadable!]
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  9. Erik Schlögl & Lutz Schlögl, 2007. "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series 190, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  10. Gabriel V. Montes-Rojas, 2008. "Robust misspecification tests for the Heckman’s two-step estimator," City University Economics Discussion Papers 08/01, Department of Economics, City University, London. [Downloadable!]
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