Munich Personal RePEc Archive

Multivariate Gram-Charlier Densities

Del Brio, Esther B. and Ñíguez, Trino-Manuel and Perote, Javier (2008): Multivariate Gram-Charlier Densities. Published in: Documentos de Trabajo FUNCAS, No. 381 (2008)

[img]
Preview
PDF
MPRA_paper_29073.pdf

Download (436Kb) | Preview

Abstract

This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate seminonparametric densities proposed in the financial econometrics as marginal distributions of the different formulations. Within this family, we focus on the specifications that guarantee positivity so obtaining a well-defined multivariate density. We compare different "positive" multivariate distributions of the family with the multivariate Edgeworth-Sargan, Normal and Student’s t in an in- and out-sample framework for financial returns data. Our results show that the proposed specifications provide a quite reasonably good performance being so of interest for applications involving the modelling and forecasting of heavy-tailed distributions.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.