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Open access Aug 2026

A flexible Sine Alpha Power Weibull ACD model

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. · 0 citations
Open access Sep 2026

A Bivariate Weibull-Epsilon Distribution with Application to Wind Speed Data

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 · 0 citations
Preprint Sep 2026

Modeling Trade Durations under Temporal Granularity Effects in Forex Markets

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...

Vladimír Holý · 0 citations
Open access Sep 2026

Fréchet Weibull Distribution: Properties and Application

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. · 0 citations
Open access Sep 2026

Fractional Tail-Event Timing Diagnostics: Extreme Value Theory Severity, Mittag-Leffler Recurrence, and Stress Episodes

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. · 0 citations
Open access Sep 2026

Bell-generated family of mixture cure rate models with application to credit default

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. · 0 citations

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