of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at … the times when the risk factors are detected to have a jump. The test statistic is a cross‐sectional average of a measure …

4 provides the power envelope for tests of the unit root hypothesis in Gaussian panel data models with cross …

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … Tests for Models with Non-Stationary Volatility"]. The panel test is robust to general patterns of cross …

We estimate stochastic volatility leverage models for a panel of stock returns for 24 S&P 500 firms from six industries … produce significant improvement in volatility predictability …

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on …This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the …