In this article we extend the class of non-negative, asymmetric kernel density estimators and propose Birnbaum-Saunders (BS) and lognormal (LN) kernel density functions. The density functions have bounded support on [0,1). Both BS and LN kernel estimators are free of boundary bias, non-negative,...

A new method of estimating a component model for the analysis of financial durations is proposed. The components are long-run dynamics and seasonality. The latter is left unspecified and the former is assumed to fall within the class ofa certain family of parametric functions. The proposed...

The objective of this study was to analyse the changes in the intraday market microstructure behaviour before a takeover announcement for a sample of target, bidder and control (non-target) companies. Under the hypothesis that agents with asymmetric information were operating in the market, the...