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Skewness-Kurtosis Bounds for EGB1, EGB2, and Special Cases

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  • Sean C. Kerman
  • James B. McDonald

Abstract

An examination of the theoretical moments of a probability density function provides useful information about the flexibility of alternative distributions. Johnson and Kotz (1970), among others, consider skewness-kurtosis plots to illustratve the ability of various probability density functions to model diverse distributional characteristics. This article investigates the skewness-kurtosis plots of the exponential generalized beta of the first and second kind and some important special cases which have been used in various applications in economics, statistics, and finance.

Suggested Citation

  • Sean C. Kerman & James B. McDonald, 2015. "Skewness-Kurtosis Bounds for EGB1, EGB2, and Special Cases," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 44(18), pages 3857-3864, September.
    • Handle: RePEc:taf:lstaxx:v:44:y:2015:i:18:p:3857-3864
    DOI: 10.1080/03610926.2013.844255
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    Cited by:

    1. Hang Lin & Lixin Liu & Zhengjun Zhang, 2023. "Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model," Mathematics, MDPI, vol. 11(14), pages 1-32, July.
    2. Jingyu Ji & Hang Lin, 2022. "Evaluating Regional Carbon Inequality and Its Dependence with Carbon Efficiency: Implications for Carbon Neutrality," Energies, MDPI, vol. 15(19), pages 1-35, September.

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