On the goodness-of-fits of the generalized lambda distribution on high-frequency stock index returns-Reference-Cited by-同舟云学术

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

Published:2022-07-08 Issue:1 Volume:10 Page:
ISSN:2332-2039
Container-title:Cogent Economics & Finance
language:en
Short-container-title:Cogent Economics & Finance

Author:

Owusu Junior Peterson¹^ORCID,Jeyasreedharan Nagaratnam²,Alagidede Imhotep Paul³

Affiliation:

1. Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana

2. Tasmanian School of Business & Economics, University of Tasmania, Tasmania, Australia

3. Wits Business School, University of the Witwatersrand, Johannesburg, South Africa

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/23322039.2022.2095764

Reference67 articles.

1. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

2. Andersen, T., Bollerslev, T., Diebold, F. X. & Labys, P. (1999). The distribution of exchange rate volatility. Technical report, National Bureau of Economic Research.

3. Modeling and Forecasting Realized Volatility

4. Bai, X. (2000). Beyond Merton’s utopia: effects of non-normality and dependence on the precision of variance estimaters using high-frequency financial data. PhD thesis, University of Chicago, Graduate School of Business.

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