The generalized Pareto (GP) distribution is useful in modeling extreme value data, because of its long tail feature. In this paper, a new generalized version of this distribution which is called the beta generalized Pareto (BGP) distribution is introduced. A new distribution is more flexible and...

This paper considers a new class of time series models called autoregressive conditional duration (ACD) models. These models have been developed and applied to investigate the price discovery process in the context of financial markets. The various statistical properties of this class of ACD...