Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of...

The accuracy of the U.S. Bureau of Economic Analysis (BEA) monthly estimates of the nation’s quarterly nominal and real gross domestic product (GDP) growth rates are examined using a novel analytical framework based on the flexible two-piece generalized distribution. An analysis 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,...

The impact of prices of natural gas, coal, and carbon emissions on the empirical distribution of electricity prices in Germany is investigated using a flexible distribution with time-varying mean, variance, skewness, and kurtosis parameters, augmented with seasonal components for the day of the...

EGARCH-M models based on a daily, weekly, and monthly S&P–500 returns over the period October 1934–September 1994 reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear markets. Higher margins are also negatively related to...

This paper evaluates the performance of three extreme value distributions, i.e., generalized Pareto distribution (GPD), generalized extreme value distribution (GEV), and Box-Cox-GEV, and four skewed fat-tailed distributions, i.e., skewed generalized error distribution (SGED), skewed generalized...