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
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Spanish Economic Review.
Volume (Year): 6 (2004)
Issue (Month): 1 (April)
Contact details of provider:
Postal: Universidad del País Vasco; DFAE II; Avenida Lehendakari Aguirre, 83; 48015 Bilbao; Spain
Phone: +34 94 6013783
Fax: + 34 94 6013774
Web page: http://link.springer.de/link/service/journals/10108/index.htm
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011.
"Multivariate semi-nonparametric distributions with dynamic conditional correlations,"
International Journal of Forecasting,
Elsevier, vol. 27(2), pages 347-364, April.
- Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011. "Multivariate semi-nonparametric distributions with dynamic conditional correlations," International Journal of Forecasting, Elsevier, vol. 27(2), pages 347-364.
- Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
- Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.