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Gram-Charlier densities: a multivariate approach

  • Esther B. Del Brio
  • Trino-Manuel Niguez
  • Javier Perote

This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate semi-non-parametric densities proposed in financial econometrics as marginal of its different formulations. Within this family, we focus on the analysis of the specifications that guarantee positivity to obtain well-defined multivariate semi-non-parametric densities. We compare two different multivariate distributions of the family with the multivariate Edgeworth-Sargan, Normal, Student's t and skewed Student's t in an in- and out-of-sample framework for financial returns data. Our results show that the proposed specifications provide a reasonably good performance, and would therefore be of interest for applications involving the modelling and forecasting of heavy-tailed distributions.

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Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

Volume (Year): 9 (2009)
Issue (Month): 7 ()
Pages: 855-868

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Handle: RePEc:taf:quantf:v:9:y:2009:i:7:p:855-868
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