Normal log-normal mixture, leptokurtosis and skewness
The normal log-normal mixture (NLNM) is considered for modelling leptokurtosis and skewness. The moment of the mixture is shown to be finite for any positive order. The expectations of exponential functions of the NLNM variable are also investigated. The kurtosis and skewness of the NLNM are explicitly shown to be determined by the variance of the log normal and the correlation between the normal and log normal. A set of cross-sectional data is fitted to the NLNM to illustrate that idiosyncratic variances may be modelled by the mixture.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 15 (2008)
Issue (Month): 9 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:15:y:2008:i:9:p:737-742. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.