Gram-Charlier densities

Journal of Economic Dynamics and Control

Volumn 25, Issue 10, 2001, Pages 1457-1483

  Jondeau, Eric ^a   Rockinger, Michael ^b  

^a DGEI DEER   (France)

^b HEC PARIS   (France)

Author keywords

C40; C63; F31; G13; GARCH model; Hermite expansion; Risk neutral density; Semi nonparametric estimation

Indexed keywords

EID: 0041527453     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(99)00082-2     Document Type: Article

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