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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 general than the truncated Gram-Charlier expansions of Jondeau and Rochinger (2001), who impose parameter restrictions to ensure positivity....
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null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …
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Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one-sided Kuhn-Tucker versions …
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