A dynamic view to moment matching of truncated distributions
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DOI: 10.1016/j.spl.2015.05.006
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References listed on IDEAS
- Arismendi, J.C., 2013. "Multivariate truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 41-75.
- Danny D. Dyer, 1973. "On Moments Estimation of the Parameters of a Truncated Bivariate Normal Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(3), pages 287-291, November.
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Cited by:
- León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Moshe Pollak & Michal Shauly-Aharonov, 2019. "A Double Recursion for Calculating Moments of the Truncated Normal Distribution and its Connection to Change Detection," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 889-906, September.
- León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
- Brenda Castillo-Brais & Ángel León & Juan Mora, 2022. "Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
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Keywords
Location-scale families; Moment matching; Normal distribution; Truncated distributions;All these keywords.
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