This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of flexibility to fit moderate costs with high...

This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of flexibility to fit moderate costs with high...

Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...

In this paper, we introduce a new class of multivariate distributions as an extension of the normal variance–mean mixture distributions class. The new class results from a variance-mean mixture of the skew normal and the generalized inverse Gaussian distributions. The new class is very...

The Generalized Inverse Gaussian (GIG) distribution has found many interesting applications; see Jørgensen  [24]. This rich family includes some well-known distributions, such as the inverse Gaussian, gamma and exponential, as special cases. These distributions have been used as the mixing...