Inequality-based measures of right and left kurtosis have recently emerged as an effective alternative to the conventional fourth moment coefficient of kurtosis. In this contribution we show that the theory of L-statistics provides a convenient framework for the construction of empirical estimators for the new measures and the investigation of their asymptotic properties. Natural applications arise in financial contexts, in which the proposed estimators provide both a more robust and a more informative picture of the kurtosis risk embedded in market returns.

Beltrami, D., Fiori, A. (2012). Asymptotic estimation of right and left kurtosis measures, with applications to finance. In Proceedings of the 46th Scientific Meeting of the Italian Statistical Society.

Asymptotic estimation of right and left kurtosis measures, with applications to finance

FIORI, ANNA MARIA
2012

Abstract

Inequality-based measures of right and left kurtosis have recently emerged as an effective alternative to the conventional fourth moment coefficient of kurtosis. In this contribution we show that the theory of L-statistics provides a convenient framework for the construction of empirical estimators for the new measures and the investigation of their asymptotic properties. Natural applications arise in financial contexts, in which the proposed estimators provide both a more robust and a more informative picture of the kurtosis risk embedded in market returns.
No
slide + paper
L-statistics, kurtosis curve, heavy tails, standard fourth moment
English
46TH SCIENTIFIC MEETING OF THE ITALIAN STATISTICAL SOCIETY
978-88-6129-882-8
http://www.sis-statistica.it/index.php?area=main&module=contents&contentid=527
Beltrami, D., Fiori, A. (2012). Asymptotic estimation of right and left kurtosis measures, with applications to finance. In Proceedings of the 46th Scientific Meeting of the Italian Statistical Society.
Beltrami, D; Fiori, A
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/34439
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
Social impact