Whether fat tails exist in the distribution of venture capital and private equity returns affects how investors view the attractiveness of such investments, especially if means or variances are potentially infinite. Using fund performance data, I propose and test a smooth double Pareto...

Wealth is distributed more unevenly than income, and one contributing factor might be that richer households earn higher portfolio returns. I uncover one channel that causes portfolio returns to be increasing in wealth: Poorer households consistently buy risky assets in booms-when expected...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...