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| Markus Haas |
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| ''A Note on the Moments of the Skew-Normal Distribution'' |
| ( 2012, Vol. 32 No.4 ) |
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| Azzalini's skew-normal distribution is an attractive tool for modeling the skewness observed in many economic and financial variables. Formulas for the odd moments of the skew-normal distribution have been given by Henze (1986) and, more recently, Martinez et al. (2008). This note provides a rather straightforward alternative approach to the calculation of the odd moments of the skew-normal distribution. It exploits a striking similarity between the density and the moment generating function of a skew-normal variable and leads to an attractive expression for the odd moments.
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| Keywords: Moments, skewness, skew-normal distribution |
JEL: C4 - Econometric and Statistical Methods: Special Topics
C1 - Econometric and Statistical Methods: General |
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| Manuscript Received : Oct 10 2012 | | Manuscript Accepted : Dec 03 2012 |
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