The Moments Expansion Density

We propose a novel semi-nonparametric (SNP) model that is feasibly parameterized to represent the non-Gaussianities of the asset return distributions. Our Moments Expansion (ME) density presents gains in simplicity, with respect to other SNP densities, which result from its innovative polynomials, given by the difference between the n-th power of the variable and the n-th moment of a parametric density used as the basis of the expansion. In an empirical application to asset returns, the ME model outperforms both standard and non-Gaussian GARCH models along several risk forecasting dimensions