This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three-factor model, and the Carhart (1997) four-factor model...

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...

We provide a new alternative to thin-tailed regression models by introducing robust numerical methods, based on the minimum relative U−entropy (MRUE) principle, to estimate heteroskedastic, fat-tailed, flexible univariate probability density functions, conditioned on a number of explanatory...

We introduce new robust numerical methods, based on the minimum relative U−entropy (MRUE) principle, to estimate univariate probability density functions for power-law (fat-tailed) random variables. The semi-parametric models that we estimate via convex programming are flexible enough to...

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...