Kleiber, Christian - Wirtschaftswissenschaftliches Zentrum, Universität Basel - 2012
This paper studies a Stieltjes-type moment problem defined by the generalized lognormal distribution, a heavy …-tailed distribution with applications in economics, finance and related fields. It arises as the distribution of the exponential of a … random variable following a generalized error distribution, and hence figures prominently in the EGARCH model of asset price …