Approximation of asymmetric multivariate return distributions

DOI10.1007/S10690-011-9150-8MaRDI QIDQ1929152zbMATH OpenOpenAlexFDO

Authors Ba Chu

Publication date 7 January 2013

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-011-9150-8

zbMATH Keywords

asymmetric dependenceEdgeworth expansionLaguerre polynomialsmixture of the Gamma distributionsseries approximationtail risk

Mathematics Subject Classification ID

Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Approximations to statistical distributions (nonasymptotic) (62E17) Point estimation (62F10) Financial applications of other theories (91G80)

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Cites work

• Approximation of asymmetric multivariate return distributions
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• Expansions and Asymptotics for Statistics
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Cited in

(11)

• An approximation procedure for asymmetric stable Paretian densities
• Approximation of asymmetric multivariate return distributions
• A model-free, non-parametric method for density determination, with application to asset returns
• Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns
• scientific article; zbMATH DE number 6039585 (Why is no real title available?)
• Dynamic density forecasts for multivariate asset returns
• Gram-Charlier densities: a multivariate approach
• MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
• scientific article; zbMATH DE number 5583464 (Why is no real title available?)
• Multivariate distribution of returns in financial time series
• Multivariate return decomposition: theory and implications

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