Approximation of Asymmetric Multivariate Return Distributions
We develop a new method to approximate the asymmetric multivariate probability density function (pdf) of financial asset returns by using series expansions; a rate of convergence for the mean absolute error of this approximation is also provided. We then propose the method of maximum likelihood and the generalized method of moments to estimate the parameters of the approximated pdf. A Monte-Carlo experiment corroborates the feasibility of our approach. Copyright Springer Science+Business Media, LLC. 2012
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Volume (Year): 19 (2012)
Issue (Month): 3 (September)
Pages: 293-318
| Handle: | RePEc:kap:apfinm:v:19:y:2012:i:3:p:293-318 |
| DOI: | 10.1007/s10690-011-9150-8 |
| Contact details of provider: | Web page: http://www.springer.com Web page: http://www.jafee.gr.jp/
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| Order Information: | Web: http://www.springer.com/finance/journal/10690/PS2 |
References listed on IDEAS
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- Andrew J. Patton, 2004.
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- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-448, May.
- Okimoto, Tatsuyoshi, 2008. "New Evidence of Asymmetric Dependence Structures in International Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(03), pages 787-815, September.
- Y. Malevergne & D. Sornette, 2002. "Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets," Papers cond-mat/0207475, arXiv.org. Full references (including those not matched with items on IDEAS)
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