Continuous-time models of natural resource prices usually preclude the possibility of large changes (jumps) resulting from unexpected events. To test for the presence of jumps and/or ARCH effects, we combine bounds and the Monte Carlo test technique to obtain finite-sample, level-exact p-values....

Simulation smoothing involves drawing state variables (or innovations) in discrete time state-space models from their conditional distribution given parameters and observations. Gaussian simulation smoothing is of particular interest, not only for the direct analysis of Gaussian linear models,...