An Efficient Stochastic Simulation Algorithm for Bayesian Unit Root Testing in Stochastic Volatility Models
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DOI: 10.1007/s10614-011-9252-4
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Cited by:
- Jin-Yu Zhang & Yong Li & Zhu-Ming Chen, 2013. "Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 89-100, January.
- Jinyan Zhan & Fan Zhang & Siqi Jia & Xi Chu & Yifan Li, 2018. "Spatial Pattern of Regional Urbanization Efficiency: An Empirical Study of Shanghai," Computational Economics, Springer;Society for Computational Economics, vol. 52(4), pages 1277-1291, December.
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Keywords
Financial times series; Stochastic volatility models; Unit root testing; Bayes factor; Path sampling;Statistics
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