Gram–Charlier densities: a multivariate approach
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Publication:3650967
DOI10.1080/14697680902773611zbMath1180.91319OpenAlexW2040313927MaRDI QIDQ3650967
Esther B. Del Brio, Trino-Manuel Ñíguez, Javier Perote
Publication date: 7 December 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680902773611
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items
Multivariate generalized Gram-Charlier series in vector notations ⋮ Gram-Charlier processes and applications to option pricing ⋮ Gram-Charlier densities: maximum likelihood versus the method of moments ⋮ The dual multivariate Charlier and Edgeworth expansions ⋮ A Monte Carlo multi-asset option pricing approximation for general stochastic processes ⋮ Dynamic density forecasts for multivariate asset returns
Uses Software
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