Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

Business, Finance, Econometrics +16

Strictly Proper Scoring Rules, Prediction, and Estimation

Tilmann Gneiting, Adrian E. Raftery · Journal of the American Statistical Association · 2007 · 5.5K citations

Business, Mathematics, Forecasting +16

Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew<i>t</i>-Distribution

Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2003 · 1.3K citations · Full text

Natural Sciences, Mathematics, Probability Theory +15

On Bayesian Modeling of Fat Tails and Skewness

Carmen Fernández, Mark F. J. Steel · Journal of the American Statistical Association · 1998 · 985 citations

Computing, Data Science, Bayesian Data Analysis +16

A new class of multivariate skew distributions with applications to bayesian regression models

Sujit K. Sahu, Dipak K. Dey, Márcia D. Branco · Canadian Journal of Statistics · 2003 · 624 citations

Computing, Biostatistics, Bayesian Data Analysis +15