Most asset return series, especially those in high frequency, show high excess kurtosis and persistence in volatility that cannot be adequately described by the generalized conditional heteroscedastic (GARCH) model, even with heavy-tailed innovations. Many researchers have argued that these...

Proofs for the consistency of the kernel density estimator have historically developed. Four important milestones are the pointwise consistency, the almost sure uniform convergence, the rate of convergence on a bounded interval and the rate of convergence on R. The underlying concepts of total...