Tail Conditional Moments for Location-Scale Mixture of Elliptical Distributions

Mathematics

Xiangyu Han¹  Chuancun Yin¹ 

[1] School of Statistics and Data Science, Qufu Normal University, Qufu 273165, China;

关键词: tail conditional moment;    location-scale mixture;    elliptical distribution;    tail variance;    tail conditional skewness;    tail conditonal kurtosis;   

DOI  :  10.3390/math10040606

来源: DOAJ

【 摘 要 】

We present the general results on the univariate tail conditional moments for a location-scale mixture of elliptical distributions. Examples include the location-scale mixture of normal, location-scale mixture of Student’s t, location-scale mixture of logistic, and location-scale mixture of Laplace distributions. More specifically, we give the tail variance, the tail conditional skewness, and the tail conditional kurtosis of generalised hyperbolic distribution and Student–GIG mixture distribution. We give an illustrative example, which discusses the TCE, TV, TCS and TCK of three stocks, including Amazon, Google and Apple.

【 授权许可】

Unknown