IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v15y2008i9p737-742.html
   My bibliography  Save this article

Normal log-normal mixture, leptokurtosis and skewness

Author

Listed:
  • Minxian Yang

Abstract

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.

Suggested Citation

  • Minxian Yang, 2008. "Normal log-normal mixture, leptokurtosis and skewness," Applied Economics Letters, Taylor & Francis Journals, vol. 15(9), pages 737-742.
  • Handle: RePEc:taf:apeclt:v:15:y:2008:i:9:p:737-742
    DOI: 10.1080/13504850600749073
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850600749073&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ravi Kashyap, 2016. "Combining Dimension Reduction, Distance Measures and Covariance," Papers 1603.09060, arXiv.org, revised Nov 2017.
    2. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
    3. Klaus Adam & Michael Woodford, 2018. "Leaning Against Housing Prices as Robustly Optimal Monetary Policy," CESifo Working Paper Series 7071, CESifo Group Munich.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.