This paper develops an approach based on Gram-Charlier-like expansions for modeling financial series to take in due account features such as leptokurtosis. A Gram-Charlier-like expansion adjusts the moments of interest of a given distribution via its own orthogonal polynomials. This approach,...

Using a sample of international equity markets over the period 2001-2020, this paper aims to empirically investigate the implications in terms of asset allocation and the key properties of kurtosis-based strategies compared to the more traditional volatility-based strategies for financial...

This paper develops an approach based on Gram-Charlier-like expansions for modeling financial series to take in due account features such as leptokurtosis. A Gram-Charlier-like expansion adjusts the moments of interest of a given distribution via its own orthogonal polynomials. This approach,...

The paper establishes a unified representation theorem for (co)integrated processes up to the second order which provides a compact and informative insight into the solution of VAR models with unit roots, and sheds light on the cointegration features of the engendered processes. The theorem is...

In this paper a novel partitioned inversion formula is obtained in terms of the orthogonal complements of off-diagonal blocks, with the emblematic matrix of unit-root econometrics springing up as the leading diagonal block of the inverse. On the one hand, the result paves the way to a...