Moment-Implied Densities: Properties and Applications
研究了基于前四阶矩的参数密度函数在尾部行为和偏度/峰度范围上的差异，为风险管理等应用中的密度选择提供系统分析。
Suppose one uses a parametric density function based on the first four (conditional) moments to model risk. There are quite a few densities to choose from and depending on which is selected, one implicitly assumes very different tail behavior and very different feasible skewness/kurtosis combinations. Surprisingly, there is no systematic analysis of the tradeoff one faces. It is the purpose of the article to address this. We focus on the tail behavior and the range of skewness and kurtosis as these are key for common applications such as risk management.