The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...

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...

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...