The paper presents a procedure based on the EM algorithm for the indirect estimation of the parameters of BiLinear GARCH (BL-GARCH) models. BL-GARCH generalize the class of GARCH models by considering interactions of past shocks and volatilities in the conditional variance equation. In this way...

The bias, mean squared error and likelihood optimality criteria are used frequently to compare estimators and predictors. Recently, the probability of nearness around a statistic (estimator or predictor) has received a considerable attention in the literature. In this article, we adopt the...

We study how the convolution approximation of continuous mappings can be applied in solving optimal stopping problems of linear diffusions whenever the underlying payoff is not differentiable and the smooth fit principle does not necessarily apply. We construct a sequence of smooth reward...