Brio, Esther B. Del; Niguez, Trino-Manuel; Perote, Javier - In: Quantitative Finance 9 (2009) 7, pp. 855-868
This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate semi-non-parametric densities proposed in financial econometrics as marginal of its different formulations. Within this family, we...