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Assessing the value of Hermite densities for predictive distributions

✍ Scribed by Ignacio Mauleón

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
175 KB
Volume
29
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

The empirical behaviour of two Hermitian densities—the Edgeworth asymptotic expansion, and the Gallant and Nychka (1987) squared transformation—are assessed and compared to Hansen's (1994) asymmetric Student t. The comparison focuses on VaR measurements and overall probability fits. In and out of sample, Berkowitz's (2001) extended procedures are also implemented. Results are moderately favourable to the Hermitians, supporting the semi‐nonparametric interpretation, and multivariate developments. Copyright © 2009 John Wiley & Sons, Ltd.

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