In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...

We provide a simple distribution regression estimator for treatment effects in the difference-in-differences (DiD) design. Our procedure is particularly useful when the treatment effect differs across the distribution of the outcome variable. Our proposed estimator easily incorporates covariates...

We introduce the vector-valued t-Riesz distribution for time series models of electricity prices. The t-Riesz distribution extends the well-known Multivariate Student's t distribution by allowing for tail heterogeneity via a vector of degrees of freedom (DoF) parameters. The closed-form density...