Approximation of asymmetric multivariate return distributions

DOI10.1007/s10690-011-9150-8zbMath1283.62023OpenAlexW1989540999MaRDI QIDQ1929152

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

Laguerre polynomialsEdgeworth expansionseries approximationasymmetric dependencetail riskmixture of the Gamma distributions

Mathematics Subject Classification ID

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

Related Items (1)

Approximation of asymmetric multivariate return distributions

Cites Work

• Approximation of asymmetric multivariate return distributions
• Optimal investment and asymmetric risk: a large deviations approach
• Expansions and Asymptotics for Statistics
• Econometric Estimators and the Edgeworth Approximation
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