Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that...

Volatility forecasting is an important issue in empirical finance. In this paper, the main purpose is to apply the model averaging techniques to reduce volatility model uncertainty and improve volatility forecasting. Six GARCH-type models are considered as candidate models for model averaging....

This paper contributes to the literature by examining the impact of environmental regulation on stock returns and the mitigating effect of green innovation. We conduct an empirical study using a sample of publicly listed manufacturing companies in China from 2007 to 2018. The regulation...