models that are characterized as the solution of a linear inverse problem. By using a Gaussian process prior distribution we … propose the posterior mean as an estimator and prove frequentist consistency of the posterior distribution. The latter … distribution can be obtained provided that either the regularity of the prior matches the regularity of the true parameter or the …

distribution approximation and high order expansions, this paper shows that the fixed-b asymptotic approximation provides a higher … uses an F-distribution as the reference distribution. Finally, the paper develops a bandwidth selection rule that is …

and components of co-volatility are compared to examine the effect of jumps on systematic risk using tick-by-tick data … considerably underestimate the systematic risk. …

some progress has been made recently, a complete distribution theory of MLE for EGARCH models is still missing. Furthermore …, as starting values for MLE. The estimator of the dynamic parameter is inde- pendent of the innovation distribution. For … the other parameters we assume that the innovation distribution belongs to the class of Generalized Error Distributions …