Extreme events - A Summary [4]

Go to: Summary | Previous | Next   
Bullet points include: Fat tails involve deviation from Normality, so some higher cumulants (moments), aka semi-invariants, e.g. skew and (excess) kurtosis, deviate from zero (Normality). Cornish-Fisher asymptotic expansion (4th moment version) regularly appears in risk management literature. Estimates distributional form from first 4 moments, i.e.: Standardised QQ-plot estimated via a cubic equation: Can overstate fat-tailed behaviour in tails, see Appendix A

Contents | Prev | Next | Library

Desktop view | Switch to Mobile