Continuous-time stochastic volatility models are becoming an increasingly popular way to describe moderate and high-frequency financial data. Barndorff-Nielsen and Shephard (2001a) proposed a class of models where the volatility behaves according to an Ornstein–Uhlenbeck (OU) process, driven...

We examine the issue of variable selection in linear regression modeling, where we have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the ap- propriate subset. Bayesian Model Averaging presents a formal Bayesian solution to...