Gram-Charlier densities

Article Abstract:

This paper presents a method to estimate risk neutral densities, examines Gram-Charlier densities as fitted to distributed data, its validation biases, and improvement of Generalized Autoregressive Conditional Heteroskedascity estimations.

Economics, Research and Development in the Social Sciences and Humanities, Innovations

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Gram-Charlier densities

Article Abstract:

This paper presents a method to estimate risk neutral densities, distribution and mixing of Gram-Charlier densities, capture of parameters, biases in estimation and improvement of Generalized Autoregressive Conditional Heteroskedasticity by the proposed method.

Risk (Economics)

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Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

Article Abstract:

The authors model foreign exchange and stock index distributions, finding that time dependence is important, while degree of freedom is constant. They test the model with an example which shows that extreme variations tend to occur in several markets at once.

Administration of General Economic Programs, Foreign Exchange & Reserves Policy, Models, Foreign exchange, Stock price indexes

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