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....

Nitrogen (N) pollution is a global environmental problem that has greatly increased the risks of both the eutrophication of surface waters and contamination of ground waters. The majority of N pollution mainly comes from agricultural fields, in particular during rice growing seasons. In recent...

To address the demand for vehicles using fuel cell energy with high-performance electrodes, this paper discusses the energy storage model, nano-scale characterization technology, nanoenergy system and the structural design for fuel cell graphene electrodes while giving special attention to three...

In this paper, on the basis of stochastic volatility (SV) models, we extend the approach of option pricing for executive stock options (ESOs) under FAS 123. Based on this extension, a sample of Chinese listed companies’ ESOs are priced. We analyze the effect of the some important financial...

Whether or not there is a unit root persistence in volatility of financial assets has been a long-standing topic of interest to financial econometricians and empirical economists. The purpose of this article is to provide a Bayesian approach for testing the volatility persistence in the context...

In this paper a new Bayesian approach is proposed to test a point null hypothesis based on the deviance in a decision-theoretical framework. The proposed test statistic may be regarded as the Bayesian version of the likelihood ratio test and appeals in practical applications with three desirable...

A new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss. The proposed test statistic may be regarded as the Bayesian version of Lagrange multiplier test. Its asymptotic distribution is obtained based on a set of regular conditions and follows a...

Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC)...