In the study of finance, likelihood based or moment based methods are frequently used to estimate parameters for various kinds of models given the sampled return data. While the former method is not robust, the latter one suffers from loss of efficiency and high noise-to-signal ratio in the...

The problem of accurately estimating the mean-squared error of small area estimators within a Fay-Herriot normal error model is studied theoretically in the common setting where the model is fitted to a logarithmically transformed response variable. For bias-corrected empirical best linear...

Let ([Omega],,P) be a probability space equipped with two filtrations {t} and {t} satisfying the usual conditions. Assume that X is a semimartingale and that h is locally bounded and predictable for each of the two filtrations {t} and {t}. New examples of such processes are given. Utilizing and...