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Journal of Business & Economic Statistics Volume 27, 2009 - Issue 2
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Research Article

Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

Ángel León Departamento de Economía Financiera, Universidad de Alicante, Ap. 99, E-03080 Alicante, Spain
,
Javier Mencía Bank of Spain, Alcalá 48, E-28014 Madrid, Spain
&
Enrique Sentana CEMFI, Casado del Alisal 5, E-28014 Madrid, Spain
Pages 176-192 | Received 01 Jun 2006, Published online: 01 Jan 2012

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Bernardo León-Camacho, Andrés Mora-Valencia & Javier Perote. (2022) Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns. The Engineering Economist 67:3, pages 218-233.
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Ángel León & Trino-Manuel Ñíguez. (2022) Polynomial adjusted Student-t densities for modeling asset returns. The European Journal of Finance 28:9, pages 907-929.
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Giorgia Callegaro, Lucio Fiorin & Andrea Pallavicini. (2021) Quantization goes polynomial. Quantitative Finance 21:3, pages 361-376.
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Georgios Skoulakis. (2019) Simulating from polynomial-normal distributions. Communications in Statistics - Simulation and Computation 48:2, pages 472-477.
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Javier Mencía & Enrique Sentana. (2018) Volatility-Related Exchange Traded Assets: An Econometric Investigation. Journal of Business & Economic Statistics 36:4, pages 599-614.
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Daniel Wei-Chung Miao, Hsiu-Chun Lee & Hung Chen. (2016) A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles. Communications in Statistics - Simulation and Computation 45:4, pages 1249-1267.
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Benjamin R. Auer. (2015) Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis. Applied Economics 47:27, pages 2844-2859.
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Eric Ghysels & Fangfang Wang. (2014) Moment-Implied Densities: Properties and Applications. Journal of Business & Economic Statistics 32:1, pages 88-111.
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Esther B. Del Brio, Trino-Manuel Ñíguez & Javier Perote. (2009) Gram–Charlier densities: a multivariate approach. Quantitative Finance 9:7, pages 855-868.
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Wei Lin, Kangli Shen & Jin E. Zhang. (2023) Further exploration into the valid regions of Gram–Charlier densities. Journal of Computational and Applied Mathematics 429, pages 115231.
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Alfredo Trespalacios, Lina M. Cortés & Javier Perote. (2023) The impact of the El Niño phenomenon on electricity prices in hydrologic‐based production systems: A switching regime semi‐nonparametric approach. Energy Science & Engineering 11:5, pages 1564-1578.
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Inés Jiménez, Andrés Mora-Valencia & Javier Perote. (2022) Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?. Finance Research Letters 49, pages 103105.
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Wei Lin & Jin E. Zhang. (2022) The valid regions of Gram–Charlier densities with high-order cumulants. Journal of Computational and Applied Mathematics 407, pages 113945.
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Inés Jiménez, Andrés Mora-Valencia & Javier Perote. (2021) Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. Risk Management 24:1, pages 81-99.
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Lina M. Cortés, Juan M. Lozada & Javier Perote. (2021) Firm size and economic concentration: An analysis from a lognormal expansion. PLOS ONE 16:7, pages e0254487.
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Enrique Molina‐Muñoz, Andrés Mora‐Valencia & Javier Perote. (2020) Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures . International Journal of Finance & Economics 26:3, pages 4163-4189.
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Lina M. Cortés, Andrés Mora-Valencia & Javier Perote. (2020) Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. The North American Journal of Economics and Finance 54, pages 100862.
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Xin Ye, Ke Wang, Yajie Zou & Dominique Lord. (2018) A semi-nonparametric Poisson regression model for analyzing motor vehicle crash data. PLOS ONE 13:5, pages e0197338.
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Siti Maghfirotul Ulyah, Xenos Chang-Shuo Lin & Daniel Wei-Chung Miao. (2018) Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps. Finance Research Letters 24, pages 113-128.
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Sofiane Aboura & Didier Maillard. (2016) Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion. Journal of Futures Markets 36:12, pages 1194-1209.
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Massimo Guidolin & Erwin Hansen. (2016) Pricing S&P 500 Index Options: A Conditional Semi-Nonparametric Approach. Journal of Futures Markets 36:3, pages 217-239.
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Melanie Arntz, Simon M. S. Lo & Ralf A. Wilke. (2013) Bounds analysis of competing risks: a non-parametric evaluation of the effect of unemployment benefits on migration. Empirical Economics 46:1, pages 199-228.
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John-Peter D. Chateau. (2014) Valuing European Put Options under Skewness and Increasing [Excess] Kurtosis. Journal of Mathematical Finance 04:03, pages 160-177.
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Erik Schlögl. (2013) Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order. Journal of Economic Dynamics and Control 37:3, pages 611-632.
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Esther B. Del Brio & Javier Perote. (2012) Gram–Charlier densities: Maximum likelihood versus the method of moments. Insurance: Mathematics and Economics 51:3, pages 531-537.
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Trino‐Manuel Ñíguez & Javier Perote. (2011) Forecasting Heavy‐Tailed Densities with Positive Edgeworth and Gram‐Charlier Expansions*. Oxford Bulletin of Economics and Statistics 74:4, pages 600-627.
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Esther B. del Brío & Javier Perote. 2012. Soft Computing in Management and Business Economics. Soft Computing in Management and Business Economics 435 448 .
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Esther B. Del Brio, Trino-Manuel Ñíguez & Javier Perote. (2011) Multivariate semi-nonparametric distributions with dynamic conditional correlations. International Journal of Forecasting 27:2, pages 347-364.
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Panayiotis C. Andreou, Chris Charalambous & Spiros H. Martzoukos. (2010) Generalized parameter functions for option pricing. Journal of Banking & Finance 34:3, pages 633-646.
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M. Angeles Carnero & Angel Leon. (2021) Moments of Tgarch Models with Gram-Charlier Innovations. SSRN Electronic Journal.
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Arnold Polanski & Evarist Stoja. (2013) Co-Dependence of Extreme Events in High Frequency FX Returns. SSRN Electronic Journal.
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