This paper develops an approach based on Gram-Charlier-like expansions for modeling financial series to take in due account features such as leptokurtosis. A Gram-Charlier-like expansion adjusts the moments of interest of a given distribution via its own orthogonal polynomials. This approach,...

This paper re-examines the issue of how to tailor distributions to embody evidence of moments and dependence structure deviating from those of a given parent distribution. It is well known that the function that achieves the transformation from a given parent to a target distribution can be...