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ArticleGram–Charlier densities

Éric Jondeau2001

Article2001

Gram–Charlier densities

Éric Jondeau · Michael Rockinger

265 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1992ARCH modeling in finance 1981Martingales and stochastic integrals in the theory of continuous trading 1987Stochastic Simulation 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Autoregressive Conditional Density Estimation

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2002Entropy densities with an application to autoregressive conditional skewness and kurtosis 2005Autoregresive conditional volatility, skewness and kurtosis 2023Option Return Predictability with Machine Learning and Big Data 2007Comparing density forecast models 2009Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 2006The effect of macroeconomic news on beliefs and preferences: Evidence from the options market

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Year2001

Typearticle

Published2001-10-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations265

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-1889(99)00082-2

openalex_workW2036000511

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