Approximation of Asymmetric Multivariate Return Distributions
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References listed on IDEAS
- Andrew J. Patton, 2004.
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More about this item
KeywordsEdge worth expansion; Series approximation; Asymmetric dependence; Tail risk; Mixture of the Gamma distributions; Laguerre polynomials; C60; C13; G11;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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