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| Tekijä: | Mauleón, I. |
| Otsikko: | Modelling multivariate moments in European stock markets |
| Lehti: | European Journal of Finance
2006 : APR, VOL. 12:3, p. 241-263 |
| Asiasana: | Europe financial models statistical methods stock markets |
| Kieli: | eng |
| Tiivistelmä: | This article develops a framework for the multivariate Edgeworth Sargan (ES) density. The authors show the frameworks capability to account for multivariate moments beyond correlation. The ES is fitted to the residuals of a VAR model applied to the daily data of three European stock markets, accounting for univariate as well as multivariate departures from normality. |
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