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....

This paper derives the moment functions of the truncated skewed type III generalized logistic (SGL). These are then applied in finance for the development of value-at-risk, expected shortfall and downside risk measures for investment returns and values. The SGL distribution provides and good fit...

This paper presents a unified framework for the popular Skewed Generalized t (SGT) distribution and its special cases the Skewed Generalized Error Distribution (SGED), the skewed student's t, the skewed Laplace and skewed normal distributions. The analytical moment equations presented can be...

This paper introduces a two-piece generalized distributional framework based on some minimum requirements for the probability density function used as the basis for the two-way split. These requirements are symmetricity, unimodality and continuity. The basic characteristics of the two-piece...