In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...

The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The...

We present a method of estimating density-related functionals, without prior knowledge of the density's functional form. The approach revolves around the specification of an explicit formula for a new class of distributions which encompasses many of the known cases in statistics, including the...

We focus on returns defined as log-price differentials and generated by a diffusion process which incorporates stochastic volatility and jumps in prices. The jumps are properly compensated for this model. The stochastic volatility follows the well-known CIR process. We present general...