A unified probabilistic framework is developed to analyze and compare the impact of the psychological biases of overconfidence and underconfidence on managerial perceptions about the expected value, overall risk, downside risk, value-at-risk (VaR) and expected shortfall (ES) of decision-making...

Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of...

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...

This paper introduces a two-piece generalized distributional framework based on some minimum requirements for the probability density function used as the basis for the two-way split. These requirements are symmetricity, unimodality and continuity. The basic characteristics of the two-piece...

This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and...

This study re-examines the risk-return relation using a contemporaneous asset pricing model under various probability distribution functions that account for skewness and kurtosis effects in the data. Once these effects are taken into account a positive risk premium is established, suggesting...