Gram-Charlier densities: maximum likelihood versus the method of moments
From MaRDI portal
Publication:2447407
DOI10.1016/j.insmatheco.2012.07.005zbMath1285.62038MaRDI QIDQ2447407
Esther B. Del Brio, Javier Perote
Publication date: 25 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.005
maximum likelihood; method of moments; value at risk; financial returns density; semi-nonparametric method
62G07: Density estimation
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Further exploration into the valid regions of Gram-Charlier densities, Unfolded GARCH models, Gram-Charlier processes and applications to option pricing, The valid regions of Gram-Charlier densities with high-order cumulants, A \textit{meta}-measure of performance related to both investors and investments characteristics, An algorithm to estimate the vertices of a tetrahedron from uniform random points inside
Cites Work
- Unnamed Item
- Unnamed Item
- Semi-Nonparametric Maximum Likelihood Estimation
- On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
- Fat tails and asymmetry in financial volatility models.
- Generalized autoregressive conditional heteroscedasticity
- Multivariate density estimation using dimension reducing information and tail flattening trans\-formations
- Incorporating higher moments into value-at-risk forecasting
- Asymptotic Approximations to Distributions
- Gram–Charlier densities: a multivariate approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators
- Econometric Estimators and the Edgeworth Approximation
- Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
- A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
- Numerical Optimization
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Edgeworth Expansions for Semiparametric Averaged Derivatives
- EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
- The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal
- Gram-Charlier densities.