Kurtosis analysis in GARCH models with Gram–Charlier-like innovations
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DOI: 10.1016/j.econlet.2019.108552
Abstract: Abstract The approach based on polynomially-modified distributions, known as Gram–Charlier-like (GCl) expansions, has been proven effective to account for both excess kurtosis and skewness of financial data. In this paper, we examine GARCH models with… read more here.
Keywords: charlier like; kurtosis analysis; gram charlier; garch ... See more keywords
The pricing of loan insurance based on the Gram-Charlier option model
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DOI: 10.1108/cfri-10-2017-0210
Abstract: Purpose The purpose of this paper is to develop a loan insurance pricing model allowing for the skewness and kurtosis existing in underlying asset returns. Design/methodology/approach Using the theory of Gram-Charlier option, the authors first… read more here.
Keywords: model; pricing; loan insurance; skewness kurtosis ... See more keywords