The new distribution class, Asymmetric Exponential Power Distribution (AEPD), proposed in this paper generalizes the class of Skewed Exponential Power Distributions (SEPD) in a way that in addition to skewness introduces different decay rates of density in the left and right tails. Our...

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...