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An Efficient Stochastic Simulation Algorithm for Bayesian Unit Root Testing in Stochastic Volatility Models

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Author Info

  • Yong Li
  • Zhongxin Ni

    ()

  • Jie Zhang
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Abstract

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File URL: http://hdl.handle.net/10.1007/s10614-011-9252-4
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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 37 (2011)
Issue (Month): 3 (March)
Pages: 237-248

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Handle: RePEc:kap:compec:v:37:y:2011:i:3:p:237-248

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Web page: http://www.springerlink.com/link.asp?id=100248
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Related research

Keywords: Financial times series; Stochastic volatility models; Unit root testing; Bayes factor; Path sampling;

References

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  1. Sibylle Sturtz & Uwe Ligges & Andrew Gelman, . "R2WinBUGS: A Package for Running WinBUGS from R," Journal of Statistical Software, American Statistical Association, vol. 12(i03).
  2. Chou, Ray Yeutien, 1988. "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 279-94, October-D.
  3. Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
  4. Chib S. & Jeliazkov I., 2001. "Marginal Likelihood From the Metropolis-Hastings Output," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 270-281, March.
  5. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  6. Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, vol. 61(1), pages 167-86, January.
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Cited by:
  1. Jin-Yu Zhang & Yong Li & Zhu-Ming Chen, 2013. "Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis," Computational Economics, Society for Computational Economics, vol. 41(1), pages 89-100, January.

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