An Efficient Stochastic Simulation Algorithm for Bayesian Unit Root Testing in Stochastic Volatility Models
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Volume (Year): 37 (2011)
Issue (Month): 3 (March)
Pages: 237-248
| Handle: | RePEc:kap:compec:v:37:y:2011:i:3:p:237-248 |
| Contact details of provider: | Web page: http://www.springerlink.com/link.asp?id=100248 More information through EDIRC
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References listed on IDEAS
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- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
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- Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, vol. 61(1), pages 167-86, January.
- 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.
- Sibylle Sturtz & Uwe Ligges & Andrew Gelman, . "R2WinBUGS: A Package for Running WinBUGS from R," Journal of Statistical Software, American Statistical Association, vol. 12(i03).
- Shephard, Neil (ed.), 2005. "Stochastic Volatility: Selected Readings," OUP Catalogue, Oxford University Press, number 9780199257201, March.
- 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.
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