Can L-moments beat central moments in modelling risk? An empirical analysis

Xiao Qin

Applied Economics Letters, 2012, vol. 19, issue 15, 1441-1447

Abstract: This article applies a new statistical moment, Trimmed L-comoment, in modelling Expected Shortfall ( ES ) and exploits an empirical study on China's stock markets. In comparison with existing models, out-of-sample forecasts and backtests indicate superior accuracy and precision for the models based on Trimmed L-comoments, especially to those based on central moments.

Date: 2012
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DOI: 10.1080/13504851.2011.631889

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