The multivariate Edgeworth-Sargan density

  1. Perote Peña, Javier
Revista:
Spanish economic review

ISSN: 1435-5469

Año de publicación: 2004

Volumen: 6

Número: 1

Páginas: 77-96

Tipo: Artículo

DOI: 10.1007/S10108-003-0075-X DIALNET GOOGLE SCHOLAR

Otras publicaciones en: Spanish economic review

Resumen

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 Students 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.

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