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    Higher-Order Tail Moments in Asset-Pricing Theory


    Arismendi Zambrano, Juan (2019) Higher-Order Tail Moments in Asset-Pricing Theory. In: Handbook of Global Financial Markets. World Scientific, Singapore, pp. 689-741. (Unpublished)

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    Abstract

    In this chapter, we review the literature about the use of third- and fourth-order moments in finance, the main papers on asset pricing theory with higher-order moments, and the definitions of skewness and kurtosis in the statistical literature. Contagion, skewness and kurtosis investor preferences, and tail regimes are some of the topics discussed in this chapter. We derive theoretical results about the higher-order moments of the bivariate truncated normal distribution, and analyze the implications of the results for previous empirical tests. We provide these results as a tool to be used in the empirical testing of asymmetries and heavy-tailedness of assets returns.

    Item Type: Book Section
    Additional Information: This is the preprint version of the published chapter, which is available at https://doi.org/10.1142/9789813236653_0027
    Keywords: third and fourth order moments; finance; Higher-Order Tail Moments; Asset-Pricing Theory;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 13125
    Identification Number: https://doi.org/10.1142/9789813236653_0027
    Depositing User: Juan Arismendi Zambrano
    Date Deposited: 26 Jun 2020 22:34
    Journal or Publication Title: Handbook of Global Financial Markets
    Publisher: World Scientific
    Refereed: Yes
    URI:

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