We model the dynamics of Danish government bond yields in a low-rate environment using a term structure model with a lower bound, a so-called shadow rate model. Specifically, we use a shadow rate extension of the well-known Arbitrage-Free Nelson

Financial returns typically display heavy tails and some skewness, and conditional variance models with these features often outperform more limited models. The difference in performance may be especially important in estimating quantities that depend on tail features, including risk measures...

This paper proposes a new class of asymmetric Student-t (AST) distributions, and investigates its properties, gives procedures for estimation, and indicates applications in financial econometrics. We derive analytical expressions for the cdf, quantile function, moments, and quantities useful in...

In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We find that the skewness of a distribution has a...

Electricity spot prices exhibit a number of typical features that are not found in most financial time series, such as complex seasonality patterns, persistence (hyperbolic decay of the autocorrelation function), mean reversion, spikes, asymmetric behavior and leptokurtosis. Efforts have been...

Electricity spot prices exhibit a number of typical features that are not found in most financial time series, such as complex seasonality patterns, persistence (hyperbolic decay of the autocorrelation function), mean reversion, spikes, asymmetric behavior and leptokurtosis. Efforts have been...