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Multivariate Gram-Charlier Densities

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  • Del Brio, Esther B.
  • Ñíguez, Trino-Manuel
  • Perote, Javier

Abstract

This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate seminonparametric densities proposed in the financial econometrics 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 the multivariate Edgeworth-Sargan, Normal and Student’s t in an in- and out-sample framework for financial returns data. Our results show that the proposed specifications provide a quite reasonably good performance being so of interest for applications involving the modelling and forecasting of heavy-tailed distributions.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 29073.

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Date of creation: 2008
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Handle: RePEc:pra:mprapa:29073

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Keywords: Multivariate distributions; Gram-Charlier and Edgeworth-Sargan densities; MGARCH models; financial data;

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