TY  - JOUR 
AU  - Jiménez Jiménez, María Inés
AU  - Mora-Valencia, Andrés
AU  - Perote Peña, Javier
PY  - 2022
SN  - 1544-6123
UR  - http://hdl.handle.net/10366/159500
AB  - [EN] This paper introduces the effect of the crossed products of Hermite polynomials on Gram-Charlier
densities. This allows capturing the impact of the interaction between skewness and kurtosis and
evaluating this new parameter as an additional...
LA  - eng
PB  - Elsevier
KW  - Gram-charlier expansions
KW  - Skewness
KW  - Kurtosis
KW  - Value-at-risk
KW  - Median shortfall
KW  - Backtesting
TI  - Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
DO  - 10.1016/j.frl.2022.103105
T2  - Finance Research Letters
VL  - 49
M2  - 1
ER  -