Gram-Charlier Densities

Détails

ID Serval
serval:BIB_2F2004420977
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Gram-Charlier Densities
Périodique
Journal of Economic Dynamics and Control
Auteur⸱e⸱s
Jondeau E., Rockinger M.
ISSN
0165-1889
Statut éditorial
Publié
Date de publication
2001
Peer-reviewed
Oui
Volume
25
Numéro
10
Pages
1457-1483
Langue
anglais
Résumé
The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The constrained expansion can be referred to as a Gram-Charlier density. First, we apply our method to the estimation of risk neutral densities. Then, we assess the statistical properties of maximum-likelihood estimates of Gram-Charlier densities. Lastly, we apply the framework to the estimation of a GARCH model where the conditional density is a Gram-Charlier density.
Mots-clé
Hermite expansion, Semi-nonparametric estimation, Risk-neutral density, GARCH model
Web of science
Création de la notice
19/11/2007 10:58
Dernière modification de la notice
20/08/2019 14:13
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