The relationship between risk and return has been one of the most important and extensively investigated issues in the financial economics literature. The theoretical results predict a positive relation between the two. Nevertheless, the empirical findings so far have been contradictory....

The relationship between risk and expected returns has been investigated extensively in the financial economics literature. Theoretical models generally predict a positive relation between the two. Nevertheless, the empirical findings so far have been inconclusive. Using a generalization of the...

The skewed generalized t (SGT) displays an exceptional ability in modelling the tails of the empirical distributions of returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and expected shortfall measures, used by regulators,...