High-frequency financial markets generate data at irregular intervals, and durations, defined as the elapsed time between successive market events play a key role in modeling market volatility and liquidity. Classical innovation distributions frequently fall short of capturing the heavy tails, skewness, and intricate c...
Omer Mohamed Egeh, P. Ngare, J. Aduda et al.· Frontiers in Applied Mathema...· 0 citations
Modelling dependence between non-normal environmental variables is important because conventional multivariate models may not adequately represent asymmetric distributions, nonlinear associations, and complex dependence structures commonly observed in environmental data. Wind speed, in particular, exhibits substantial...
G. Esbond, F. Saporu· International Journal of Sta...· 0 citations
Trade durations in high-frequency foreign exchange data exhibit increased occurrence near integer values. To address this empirical phenomenon, we propose the granularity-adjusted autoregressive conditional duration (GA-ACD) model. It is based on a novel two-component mixture distribution consisting of a standard gener...
Recent advancements in distributional theory have increasingly focused on constructing flexible probability models capable of capturing complex real-world phenomena more effectively. Addressing this methodological need, this study introduces the Fréchet Weibull distribution, a novel extension of the classical Weibull m...
Mohammed Sa'ad, K. Lasisi, Abubakar Bishir et al.· African Journal of Advances...· 0 citations
Extreme financial events are usually defined by loss magnitude alone, which quantifies severity but leaves open whether tail losses arrive in isolation or in temporally concentrated patterns. This paper develops a fractional tail-event timing diagnostic combining peaks-over-threshold (POT) generalized Pareto distributi...
Rolando Rubilar-Torrealba, Karime Chahuán-Jiménez, H. de la Fuente-Mella et al.· Mathematics· 0 citations
Time-to-default data in credit risk modeling are often characterized by heavy tails, skewness, non-monotonic hazard functions, and a non-negligible proportion of long-term survivors. To address these features, we propose a new class of mixture cure rate models based on the Bell-generated (Bell-G) class of distributions...
Ebenezer Asabre, Suleman Nasiru, N. K. Frempong et al.· Frontiers in Applied Mathema...· 0 citations
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