This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss...

This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss...

This article examines the class of continuous-time stochastic processes commonly known as afŽfine diffusions (AD's) and afŽfine jump diffusions (AJD's). By deriving the joint characteristic function, we are able to examine the statistical properties as well as develop an efficient estimation...