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Positive definiteness of multivariate densities based on Hermite polynomials.

Publication: International Advances in Economic Research
Publication Date: 01-AUG-06
Format: Online
Delivery: Immediate Online Access
Full Article Title: Positive definiteness of multivariate densities based on Hermite polynomials.(Research Notes)(Brief article)

Article Excerpt
This note proposes multivariate positive definite densities based on Gram-Charlier and the Edgeworth Expansions (GCEE) capable of capturing the joint behavior of financial variables. The GCEE were brought into econometrics by Sargan [Econometrica, 1975] and have recently been proposed to fit high frequency financial densities by Mauleon and Perote...

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