An Efficient Stochastic Simulation Algorithm for Bayesian Unit Root Testing in Stochastic Volatility Models
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- 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.
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KeywordsFinancial times series; Stochastic volatility models; Unit root testing; Bayes factor; Path sampling;
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