Gram-Charlier-like expansions of the convoluted hyperbolic-secant density
From MaRDI portal
Publication:2301231
kurtosisskewnessorthogonal polynomialsconvoluted hyperbolic-secant distributionGram-Charlier-like expansion
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Recommendations
Cites work
- scientific article; zbMATH DE number 5345387 (Why is no real title available?)
- scientific article; zbMATH DE number 3824228 (Why is no real title available?)
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 3605240 (Why is no real title available?)
- scientific article; zbMATH DE number 699423 (Why is no real title available?)
- scientific article; zbMATH DE number 2174552 (Why is no real title available?)
- scientific article; zbMATH DE number 951459 (Why is no real title available?)
- scientific article; zbMATH DE number 3354336 (Why is no real title available?)
- scientific article; zbMATH DE number 3037624 (Why is no real title available?)
- A dynamical mixture model for unsupervised tail estimation without threshold selection
- A flexible extreme value mixture model
- A hybrid Pareto model for asymmetric fat-tailed data: the univariate case
- A new method for adding two parameters to a family of distributions with application to the normal and exponential families
- A survey on continuous elliptical vector distributions
- Bayesian Spatial Modeling of Extreme Precipitation Return Levels
- CORRECTING FOR KURTOSIS IN DENSITY ESTIMATION
- Entropy and predictability of stock market returns.
- Extended generalised Pareto models for tail estimation
- Gram-Charlier densities.
- Modeling heavy-tailed, skewed and peaked uncertainty phenomena with bounded support
- On Bayesian Modeling of Fat Tails and Skewness
- On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions
- Orthogonal polynomials for tailoring density functions to excess kurtosis, asymmetry, and dependence
- Semi-parametric modelling in finance: theoretical foundations
- Some alternatives to Edgeworth
- Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials
- The probability law for the sum of π independent variables, each subject to the law (1/\vphantom{1(2β)}.\kern-\nulldelimiterspace(2β))π ππβ(ππ₯/\vphantom{ππ₯(2β)}.\kern-\nulldelimiterspace(2β))
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
- βTail Conditional Expectations for Elliptical Distributions,β Zinoviy M. Landsman and Emiliano A. Valdez, October 2003
Cited in
(9)- Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
- Generalized hyperbolic secant distributions. With applications to finance
- Gram-Charlier densities: a multivariate approach
- Gram-Charlier-like expansions of power-raised hyperbolic secant laws
- Gram-Charlier methods, regime-switching and stochastic volatility in exponential LΓ©vy models
- The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
- Gram-Charlier densities.
- Gram-Charlier densities: maximum likelihood versus the method of moments
- Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials
This page was built for publication: Gram-Charlier-like expansions of the convoluted hyperbolic-secant density
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2301231)
