We propose an unconditional non-parametric approach to the simultaneous estimation of volatility and expected return. By means of a detailed analysis of the returns of the Standard amp; Poors 500 (Samp;P 500) composite stock index over the last fifty years we show how theoretical results and...

Suppose the tails of the noise distribution in a regression exhibit power law behavior. Then the distribution of the OLS regression estimator inherits this tail behavior. This is relevant for regressions involving financial data. We derive explicit finite sample expressions for the tail...

We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary. ©...