Gram–Charlier densities

By Eric Jondeau, Michael Rockinger. 2001

265 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/8633df0000f3d5ff9fe69d5386041af5e0baf6b8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Stavros Degiannakis *
2. Evdokia Xekalaki
3. Esther B. del Brío González
4. Javier Perote Peña
5. Trino-Manuel Ñíguez
6. Adam H. Monahan
7. Michael Rockinger

In Finance

1. Michael Rockinger
2. Eric Jondeau
3. Stavros Degiannakis *
4. Evdokia Xekalaki
5. Esther B. del Brío González
6. Javier Perote Peña
7. Trino-Manuel Ñíguez
8. Adam H. Monahan

Citations in the corpus

• Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation (2009, unknown): “Unfortunately, such truncated expansions often imply negative densities over some interval of their domain of variation, as Jondeau and Rockinger (2001) emphasize.”
• The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market (2006, unknown): “In the context of Gram–Charlier expansions, Jondeau and Rockinger (2001) derive constraints on the skewness and kurtosis parameters in the NLLS problem (13) which guarantee positivity. In addition, they provide a computationally efficient algorithm for solving this constrained problem. To get a sens”
• Entropy Densities: With an Application to Autoregressive Conditional Skewness and Kurtosis (2002, background): “13 In Jondeau and Rockinger (2001), the boundary constraint was imposed-using a linear interpolation.”
• The Probability Distribution of Sea Surface Wind Speeds. Part I: Theory and SeaWinds Observations (2006, background): “Algorithms exist to impose the constraint of nonnegativity on Gram–Charlier distributions (e.g., Jondeau and Rockinger 2001) at the expense of an analytic expression for the density.”
• Forecasting with Option-Implied Information (2012, unknown): “Jondeau and Rockinger (2000) compare semi-parametric methods based on Hermite and Edgeworth expansions, single and mixture lognormals, and methods based on jump diffusion and stochastic volatility models, and recommend using the mixture of lognormals model for short-run options, and the jump-diffusi”
• Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004, methodology): “Jondeau and Rockinger [176] examined the properties of the Gram Charlier conditional density function and estimated ARCH models with a Gram Charlier density function for a set of exchange rate series.”
• Pricing and Inference with Mixtures of Conditionally Normal Processes (2009, unknown): “More recently, Jondeau and Rockinger (2001, 2002, 2003) proposed, respectively, Gram-Charlier, Entropy and Generalized Student-t densities, while, Leon, Mencia and Sentana (2005) proposed the semi-nonparametric distribution (SNP) introduced by Gallant and Nychka (1987).”
• Multivariate Gram-Charlier Densities (2008, methodology): “In particular, the second and fourth moments of the densities (13), (14), and (15) are given in Eqs.”