Testing densities with financial data: an empirical comparison of the EdgeworthSargan density to the Students t

By I. Mauleón, Javier Perote. 2000

71 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/908d2a4c8d6398d55d1bb2b8822ed8a0a14ae092

How researchers see this paper

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

In Economics and Econometrics

1. Esther B. del Brío González
2. Javier Perote Peña
3. Trino-Manuel Ñíguez

In Finance

1. Esther B. del Brío González
2. Javier Perote Peña
3. Trino-Manuel Ñíguez

Citations in the corpus

• Multivariate Gram-Charlier Densities (2008, methodology): “…= 0 if s 6= j and (3) Z Hs(x)Hj(x)g(x)dx = s! if s = j. (4) Such orthogonality conditions guarantee that it is possible to define functions based on Hermite polynomials that integrate up to one, the simplest case being the Edgeworth-Sargan distribution proposed by Mauleón and Perote (2000).”