We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...

We propose a new family of density function that posses both flexibility and closed form expressions for moments and anti-derivatives, making them particularly appealing for applications. We illustrate its usefulness by applying our new family to obtain density forecasts of U.S. inflation. Our...

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...