Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data

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A nonparametric method for estimating asymmetric densities based on skewed Birnbaum–Saunders distributions applied to environmental data (2013, methodology): “Jin and Kawczak (2003) found evidence that the BS and LN kernel density estimators outperform all other estimators based on asymmetric kernels.”
Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data (2015, methodology): “Promising candidates include a more sophisticated plug-in method like the solve-the-equation plug-in method by Sheather and Jones (1991) and the cross-validation method.”
Reparameterized Birnbaum-Saunders regression models with varying precision (2016, methodology): “For example, when modeling economic, financial and management data; see the works by Jin and Kawczak [11], Bhatti [1], Paula et al.”
Robust statistical modeling using the Birnbaum-Saunders- t distribution applied to insurance (2012, methodology): “Only the works by Jin and Kawczak [17], Fox et al.”