Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10009247498
Persistent link: https://www.econbiz.de/10003827531
Persistent link: https://www.econbiz.de/10011741979
Persistent link: https://www.econbiz.de/10011637138
Persistent link: https://www.econbiz.de/10011799240
Persistent link: https://www.econbiz.de/10002201054
In this study, we propose a new semi-nonparametric (SNP) density model for describing the density of portfolio returns. This distribution, which we refer to as the multivariate moments expansion (MME), admits any non-Gaussian (multivariate) distribution as its basis because it is specified...
Persistent link: https://www.econbiz.de/10013000152