Balaev, Alexey - In: Quantile (2011) 9, pp. 39-60
This paper compares several bivariate conditional density parameterizations for stock market returns in terms of in-sample fit and out-of-sample predictive ability for the whole conditional density. We consider Skew-Normal, Skew-Student, Skew-GED and Gram-Charlier densities. We focus on the...