We consider the simultaneous linear minimax estimation problem in linear models with ellipsoidal constraints imposed on the unknown parameter. Using convex analysis we derive necessary and sufficient optimality conditions for a matrix to define the best linear minimax estimator. For certain...

In this paper, a simple Markov switching model for the volatility of financial returns is presented. We discuss a moment estimation procedure and develop forecasts for future squared volatilities.

In this paper it is shown that the space of stochastic integrals w.r. to a special semimartingal is closed and hence every square integrable random variable admits a best approximation in this space. In terms of financial economics this means that for every contingent claim there exists a...