Financial returns typically display heavy tails and some skewness, and conditional variance models with these features often outperform more limited models. The difference in performance may be especially important in estimating quantities that depend on tail features, including risk measures...

This paper describes a general procedure for constructing a class of asymmetric distributions based on symmetric parametric distribution families, and investigates some inherent relationships between the constructed asymmetric distribution and the original symmetric ones. This procedure is used...

This paper applies new diagnostics to the Bank of England's pioneering density forecasts (fan charts). We compute their implicit probability forecast for annual rates of inflation and output growth that exceed a given threshold (in this case, the target inflation rate and 2.5% respectively.)...

Many non- and semi- parametric estimators have asymptotic properties that have been established under conditions that exclude the possibility of singular parts in the distribution. It is thus important to be able to test for absence of singularities. Methods of testing that focus on specific...