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- W3184194731 abstract "In this paper we study an extension of the Gram–Charlier (GC) density in Jondeau and Rockinger (2001) which consists of a Gallant and Nychka (1987) transformation to ensure positivity without parameter restrictions. We derive its parametric properties such as unimodality, cumulative distribution, higher-order moments, truncated moments, and the closed-form expressions for the expected shortfall (ES) and lower partial moments. We obtain the analytic kth order stationarity conditions for the unconditional moments of the TGARCH model under the transformed GC (TGC) density. In an empirical application to asset return series, we estimate the tail index; backtest the density, VaR and ES; and implement a comparative analysis based on Hansen’s skewed-t distribution. Finally, we present extensions to time-varying conditional skewness and kurtosis, and a new class of mixture densities based on this TGC distribution." @default.
- W3184194731 created "2021-08-02" @default.
- W3184194731 creator A5001599113 @default.
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- W3184194731 date "2021-09-01" @default.
- W3184194731 modified "2023-09-25" @default.
- W3184194731 title "The transformed Gram Charlier distribution: Parametric properties and financial risk applications" @default.
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- W3184194731 doi "https://doi.org/10.1016/j.jempfin.2021.07.004" @default.
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