Abstract:Abstract-Interest in risk measurement for high-frequency data has increased since the volume of high-frequency trading stepped up over the two last decades. This paper proposes a multimodal extension of the Exponential Power Distribution (EPD), called the Multimodal Asymmetric Exponential Power Distribution (MAEPD). We derive moments and we propose a convenient stochastic representation of the MAEPD. We establish consistency, asymptotic normality and efficiency of the maximum likelihood estimators (MLE). An ap… Show more
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