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We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....
Persistent link: https://www.econbiz.de/10005155212
corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …
Persistent link: https://www.econbiz.de/10008495372