Multivariate gram-charlier densities
- Brío González, Esther B. del
- Ñíguez, Trino-Manuel
- Perote Peña, Javier
ISSN: 1988-8767
Año de publicación: 2008
Número: 381
Tipo: Documento de Trabajo
Otras publicaciones en: Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]
Resumen
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.