It is very important to identify deviation mechanism of price volatility of an industry asset and the affecting factors, and it is important to give the reasonable explanation and measurement to the abnormality of price volatility of the industry asset. This paper adopts heterogeneous panel and...

The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we...