of flexibility to fit moderate costs with high frequencies and heavy-tailed claim sizes, as they both represent …

explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy … to take into account skewness and heavy tails. Tools for Bayesian inference and model selection using a Gibbs sampler are … provided. In an empirical study, we present evidence of skewness and heavy tails for monthly macroe- conomic variables. The …