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 (Unpublished)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:	https://www.worldscientific.com/worldsci...
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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