We introduce the family of univariate double two–piece distributions, obtained by using a density– based transformation of unimodal symmetric continuous distributions with a shape parameter. The resulting distributions contain five interpretable parameters that control the mode, as well as...

We estimate with Bayesian techniques the Italian dynamic General Equilibrium Model (IGEM), which has been developed at the Italian Treasury Department, Ministry of Economy and Finance, to assess the effects of alter-native policy interventions. We analyze and discuss the estimated effects of...

We explore the potential dependence among different Asian stock markets, using several different statistical models. Extreme return-volume dependence in Hong Kong Seng Index, Bombay Stock Exchange, Indonesia Composite Index and Bursa Malaysia has been examined by using FIGARCH-Copula and...

This paper provides a unified treatment and a Bayesian interpretation of two different classes of multivariate skew-normal distributions proposed by Azzalini and Dalla Valle (Biometrika 83 (1996) 715) and Gupta et al. (Tech. Rep., Cimat, Mexico (2001)). We show that the above classes of...