Normal log-normal mixture, leptokurtosis and skewness

Minxian Yang

Applied Economics Letters, 2008, vol. 15, issue 9, 737-742

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.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:15:y:2008:i:9:p:737-742

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850600749073

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().