The paper refines Lenk’s concept of improving the performance of the computed harmonic mean estimator (HME) in three directions. First, the adjusted HME is derived from an exact analytical identity. Second, Lenk’s assumption concerning the appropriate subset A of the parameter space is...

In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (l). Using daily data (quotations of stock indices), we show that in the Stochastic Volatility...