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The Generalized Lognormal Distribution and the Stieltjes Moment Problem

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  • Christian Kleiber

    ()
    (University of Basel)

Abstract

This paper studies a Stieltjes-type moment problem defined by the generalized lognormal distribution, a heavy-tailed distribution with applications in economics, finance and related fields. It arises as the distribution of the exponential of a random variable following a generalized error distribution, and hence figures prominently in the EGARCH model of asset price volatility. Compared to the classical lognormal distribution it has an additional shape parameter. It emerges that moment (in)determinacy depends on the value of this parameter: for some values, the distribution does not have finite moments of all orders, hence the moment problem is not of interest in these cases. For other values, the distribution has moments of all orders, yet it is moment-indeterminate. Finally, a limiting case is supported on a bounded interval, and hence determined by its moments. For those generalized lognormal distributions that are moment-indeterminate Stieltjes classes of moment-equivalent distributions are presented.

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Bibliographic Info

Paper provided by Faculty of Business and Economics - University of Basel in its series Working papers with number 2012/15.

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Date of creation: 2012
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Handle: RePEc:bsl:wpaper:2012/15

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Related research

Keywords: Generalized error distribution; generalized lognormal distribution; lognormal distribution; moment problem; size distribution; Stieltjes class; volatility model;

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  1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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