TY  - JOUR 
AU  - Jiménez Jiménez, María Inés
AU  - Mora Valencia, Andrés
AU  - Perote Peña, Javier
PY  - 2022
SN  - 1460-3799
UR  - http://hdl.handle.net/10366/161231
AB  - [EN] This paper implements a procedure for dynamically selecting the Gram–Charlier approximation that best fits the empirical distribution of cryptocurrency returns at any point in time. The endogenous selection of the Gram–Charlier expansion...
LA  - eng
PB  - Springer Nature
KW  - Frequency functions
KW  - Gram-Charlier series
KW  - Cumulative distribution function
KW  - Backtesting
KW  - Cryptocurrencies
TI  - Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies
DO  - 10.1057/s41283-021-00084-5
T2  - Risk Management
VL  - 24
M2  - 81
ER  -