The multivariate Edgeworth-Sargan density
AbstractThe Edgeworth-Sargan density has been shown capable of capturing empirical regularities of financial data (thick tails and asymmetries). When compared to other densities used in applied finance, it has the advantage of its analytical simplicity, and the ability to improve data fits by adding more parameters in a natural way. This paper develops an explicit form for the multivariate Edgeworth-Sargan density and compare its performance to the multivariate Student’s t. The comparison is carried out with daily financial observations, spanning 25 years of data for several financial variables that include stock markets indices and interest and exchange rates for several countries. Copyright Springer-Verlag Berlin/Heidelberg 2004
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Bibliographic InfoArticle provided by Springer in its journal Spanish Economic Review.
Volume (Year): 6 (2004)
Issue (Month): 1 (April)
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