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...
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| Autori principali: | , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Taylor & Francis Group
2022-12-01
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| Serie: | Cogent Economics & Finance |
| Soggetti: | |
| Accesso online: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2095764 |
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