estimation and model comparison. The results based on the simulated data sets suggest that our method could achieve consistency … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter … problem ; consistency in estimation ; model selection ; Bayesian model averaging ; Markov chain Monte Carlo (MCMC) …

estimation of stochastic volatility models. We show both theoretically and empirically that the log range is approximately …We propose using the price range, a recently-neglected volatility proxy with a long histoy in finance, in the … Gaussian, in sharp contrast to popular volatility proxies, such as log absolute or squared returns. Hence Gaussian quasi …

volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …

Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts … observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a … null distributions and diverge faster than standard tests under the alternative. The theory allows smooth and abrupt …