In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...

: Plain or crude Monte Carlo simulation (CMC) is commonly applied for estimating multiperiod tail risk measures such as value-at-risk (VaR) and expected shortfall (ES). After fitting a volatility model to the past history of returns and estimating the conditional distribution of innovations, one...

Weibull distribution has been considered one of the most common and valuable distributions for building and analyzing good models for lifetime data. Many researchers have studied the properties of Weibull distribution, also in search of the best method to estimate both parameters. In this paper,...

This paper introduces a novel three-parameter skew-log-logistic distribution. The research involves the development of a new random variable based on Azzalini and Capitanio's (2013) proposition. Additionally, various statistical properties of this distribution are explored. The paper presents a...