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,...

This paper re-examines the issue of how to tailor distributions to embody evidence of moments and dependence structure deviating from those of a given parent distribution. It is well known that the function that achieves the transformation from a given parent to a target distribution can be...

Risk measures, including Value-at-Risk (VaR) and Conditional VaR (Expected Shortfall), turn out to be quite sensitive to the degree to which distributions are thick tailed and asymmetric. Lack of encoding information about asymmetry and leptokurtosis is a well-known drawback of the Gaussian law....