Doubly truncated moment risk measures for elliptical distributions

Baishuai Zuo and Chuancun Yin

Papers from arXiv.org

Abstract: In this paper, we define doubly truncated moment (DTM), doubly truncated skewness (DTS) and kurtosis (DTK). We derive DTM formulae for elliptical family, with emphasis on normal, student-$t$, logistic, Laplace and Pearson type VII distributions. We also present explicit formulas of the DTE (doubly truncated expectation), DTV (doubly truncated variance), DTS and DTK for those distributions. As illustrative example, DTEs, DTVs, DTSs and DTKs of three industry segments' (Banks, Insurance, Financial and Credit Service) stock return in London stock exchange are discussed.

Date: 2022-03
New Economics Papers: this item is included in nep-ias and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2203.01091

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