Gram-Charlier densities: a multivariate approach

Esther Del Brio (), Trino Ñíguez Grau and Javier Perote

Quantitative Finance, 2009, vol. 9, issue 7, 855-868

Abstract: 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.

Keywords: Empirical finance; Econometrics of financial markets; Financial assets; VaR (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (15)

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DOI: 10.1080/14697680902773611

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