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- W2076240140 abstract "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 exponential general autoregressive conditional heteroskedastic (EGARCH) model of asset price volatility. Compared to the classical lognormal distribution it has an additional shape parameter. It emerges that moment (in)determinacy depends on the value of this parameter: for some values, the distribution does not have finite moments of all orders, hence the moment problem is not of interest in these cases. For other values, the distribution has moments of all orders, yet it is moment-indeterminate. Finally, a limiting case is supported on a bounded interval, and hence determined by its moments. For those generalized lognormal distributions that are moment-indeterminate, Stieltjes classes of moment-equivalent distributions are presented." @default.
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- W2076240140 date "2013-01-29" @default.
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- W2076240140 title "The Generalized Lognormal Distribution and the Stieltjes Moment Problem" @default.
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- W2076240140 doi "https://doi.org/10.1007/s10959-013-0477-0" @default.
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