The multivariate Edgeworth-Sargan density

Javier Perote

Spanish Economic Review, 2004, vol. 6, issue 1, 77-96

Abstract: The Edgeworth-Sargan density has been shown capable of capturing empirical regularities of financial data (thick tails and asymmetries). When compared to other densities used in applied finance, it has the advantage of its analytical simplicity, and the ability to improve data fits by adding more parameters in a natural way. This paper develops an explicit form for the multivariate Edgeworth-Sargan density and compare its performance to the multivariate Student’s t. The comparison is carried out with daily financial observations, spanning 25 years of data for several financial variables that include stock markets indices and interest and exchange rates for several countries. Copyright Springer-Verlag Berlin/Heidelberg 2004

Keywords: Multivariate densities; Edgeworth-Sargan and Student’s t distributions; financial data; conditional heteroskedasticity (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10108-003-0075-x (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:specre:v:6:y:2004:i:1:p:77-96

Ordering information: This journal article can be ordered from
http://www.springer. ... etailsPage=societies

DOI: 10.1007/s10108-003-0075-x

Access Statistics for this article

Spanish Economic Review is currently edited by Eduardo Ley

More articles in Spanish Economic Review from Springer, Spanish Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().