León, Ángel; Mencía, Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2005
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more general than the truncated Gram-Charlier expansions of Jondeau and Rochinger (2001), who impose parameter restrictions to ensure positivity....
