Exact expressions are derived for the density function, variance, and kurtosis of a linear combination of the elements of a two-stage estimator for the coefficients in a single equation of a SUR system. The estimator is the first iterate in the iterative generalized least squares procedure...

In this paper, we reexamine the question of statistical bias in the classic Black/Scholes option price where randomness is due to the use of the historical variance. We show that the only unbiased estimated option is an at the money option.

This paper deals with the use of the empirical cumulant generating function to consistently estimate the parameters of a distribution from data that are independent and identically distributed (i.i.d.). The technique is particularly suited to situations where the density function is unknown or...