Piero Quatto, Gianmarco Vacca, Maria Grazia Zoia
arXiv 8 Jun 2021 · Econometrics
arXiv:2106.04218 · PDF · DOI · OpenAlex · Extracted main text
Recently, an approach to modeling portfolio distribution with risk factors distributed as Gram-Charlier (GC) expansions of the Gaussian law, has been conceived. GC expansions prove effective when dealing with moderately leptokurtic data. In order to cover the case of possibly severe leptokurtosis, the so-called GC-like expansions have been devised by reshaping parent leptokurtic distributions by means of orthogonal polynomials specific to them. In this paper, we focus on the hyperbolic-secant (HS) law as parent distribution whose GC-like expansions fit with kurtosis levels up to 19.4. A portfolio distribution has been obtained with risk factors modeled as GClike expansions of the HS law which duly account for excess kurtosis. Empirical evidence of the workings of the approach dealt with in the paper is included.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bagnato, L., Pot\`, V., Zoia, M.G (2015) The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns self | 0.874 | 5 | 2 | 100% |
| 2 | Bateman, H (1954) Tables of integral transforms [volumes I & II] | 0.644 | 4 | 1 | 100% |
| 3 | Zoia, M.G., Biffi, P., Nicolussi, F (2018) Value at risk and expected shortfall based on Gram-Charlier-like expansions self | 0.644 | 2 | 2 | 100% |
| 4 | Joe, H., Xu, J.J (1996) The Estimation Method of Inference Functions for Margins for Multivariate Models | 0.511 | 2 | 1 | 100% |
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| 6 | Acerbi, C., Székely, B (2014) Back-testing expected shortfall | 0.405 | 1 | 1 | 100% |
| 7 | Balanda, K.P., MacGillivray, H (1988) Kurtosis: a critical review | 0.405 | 1 | 1 | 100% |
| 8 | Ding, P (2014) Three occurrences of the Hyperbolic-Secant distribution | 0.405 | 1 | 1 | 100% |
| 9 | Dodd, E.L (1925) The Frequency Law of a Function of Variables With Given Frequency Laws | 0.405 | 1 | 1 | 100% |
| 10 | Finucan, H (1964) A note on kurtosis | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 24 scored citations.