Right and left kurtosis measures: large sample estimation and an application to financial returns

DOI10.1002/sta4.48MaRDI QIDQ6537780

Davide Beltrami, Anna Maria Fiori

Publication date: 14 May 2024

Published in: Stat (Search for Journal in Brave)

zbMATH Keywords

heavy tails\(L\)-statisticsstandard fourth momentfinancial market riskGini's concentration

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Estimating conditional tail expectation with actuarial applications in view
• Simple tests for peakedness, fat tails and leptokurtosis based on quantiles
• Robust measures of tail weight
• Majorization and the Lorenz order: a brief introduction
• Kurtosis diagram for continuous variables
• ARCH models and financial applications
• Skewness and kurtosis orderings: an introduction
• Approximation Theorems of Mathematical Statistics
• Measuring Kurtosis by Right and Left Inequality Orders
• The Asymptotic Distribution of the S–Gini Index
• Karl Pearson and the origin of kurtosis

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