Estimating Gram-Charlier Expansions with Positivity Constraints
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More about this item
KeywordsHermite expansions ; Semi-nonparametric estimation ; Risk-neutral density ; GARCH model.;
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- F31 - International Economics - - International Finance - - - Foreign Exchange
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