Código QR (código de barras bidimensional)

On the goodness-of-fits of the generalized lambda distribution on high-frequency stock index returns

In this paper, we investigate the goodness-of-fit of the flexible four-parameter generalized Lambda Distribution (GLD) for high-frequency 5-min returns sampled from the DJI30 Index. Applying Moment Matching (MM) and Maximum Likelihood Estimation (MLE) techniques, we highlight the significance of the...

ver descrição completa

Na minha lista:
Principais autores: Peterson Owusu Junior, Nagaratnam Jeyasreedharan, Imhotep Paul Alagidede
Formato: Artigo
Idioma:Inglês
Publicado em: Taylor & Francis Group 2022-12-01
coleção:Cogent Economics & Finance
Assuntos:
Maximum likelihood
moment matching
generalized lambda distribution
high-frequency
Goodness-of-fit
higher moments
Acesso em linha:https://www.tandfonline.com/doi/10.1080/23322039.2022.2095764
Tags: Adicionar Tag
Sem tags, seja o primeiro a adicionar uma tag!

Registros relacionados