English, Article, Journal or magazine article edition: Estimating Gram-Charlier Expansions with Positivity Constraints. Jondeau, E.; Rockinger, M.

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Bookmark: http://trove.nla.gov.au/version/147959
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Estimating Gram-Charlier Expansions with Positivity Constraints.
Author
  • Jondeau, E.
  • Rockinger, M.
Physical Description
  • preprint
Notes
  • The Gram-Charlier expansion, where skewness and kurtosi 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.
  • Hermite expansions ; Semi-nonparametric estimation ; Risk-neutral density ; GARCH model.
  • RePEc:bfr:banfra:56
Language
  • English
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