This paper discusses three families of flexible parametric probability density functions: the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sin distributions. These families allow quite flexible modeling the first four moments of a...

This paper provides a survey of three families of flexible parametric probability density functions (the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sine distributions) which can be used in modeling a wide variety of econometric problems....

We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness. We derive the moment and equilibrium equations, specifying skew-ness price of risk as an additive component of the effect of variance on mean expected return. We estimate our...

Robust estimation techniques based on symmetric probability distributions are often substituted for OLS to obtain efficient regression parameters with thick-tail distributed data. The empirical, simulation and theoretical results in this paper show that with skewed distributed data, symmetric...

This paper discusses three families of flexible parametric probability density functions: the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sin distributions. These families allow quite flexible modeling the first four moments of a...

This paper develops a skewed extension of the type III generalized logistic distribution and presents the analytical equations for the computation of its moments, cumulative probabilities and quantile values. It is demonstrated through an example that the distribution provides an excellent fit...

This paper presents a unified framework for the popular Skewed Generalized t (SGT) distribution and its special cases the Skewed Generalized Error Distribution (SGED), the skewed student's t, the skewed Laplace and skewed normal distributions. The analytical moment equations presented can be...

The impact of the cognitive biases of overconfidence, underconfidence and anchoring on the distribution of errors of forecasting models is analyzed using an analytical framework based on a flexible two-piece generalized distribution. The total forecasting bias, measured by the expected value of...

This paper discusses three families of flexible parametric probability density functions: the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sin distributions. These families allow quite flexible modeling the first four moments of a...

The accuracy of the U.S. Bureau of Economic Analysis (BEA) monthly estimates of the nation’s quarterly nominal and real gross domestic product (GDP) growth rates are examined using a novel analytical framework based on the flexible two-piece generalized distribution. An analysis of the...