Multivariate moments expansion density: Application of the dynamic equicorrelation model
Abstract
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 directly in terms of the basis density’s moments. To obtain the expansion of the Gaussian density, the MME is a reformulation of the multivariate...
Paper Details
Title
Multivariate moments expansion density: Application of the dynamic equicorrelation model
Published Date
Nov 1, 2016
Volume
72
Pages
S216 - S232
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