Multivariate moments expansion density: Application of the dynamic equicorrelation model
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DOI: 10.1016/j.jbankfin.2015.12.012
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- Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
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More about this item
Keywords
Density forecasting; Dynamic equicorrelation; Gram–Charlier series; Multivariate GARCH; Semi-nonparametric methods;All these keywords.
JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G1 - Financial Economics - - General Financial Markets
Statistics
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