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 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,...

In this paper, we consider a method (splitting) for calculating the autocovariances of fractional integrated processes (ARFIMA) and generalized integrated processes (GARMA). The splitting method does not require any restriction on the autoregressive roots, and allows fast calculation of the...