Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis
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DOI: 10.1007/s10614-012-9319-x
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References listed on IDEAS
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Cited by:
- Cathy W. S. Chen & Sangyeol Lee & Shu-Yu Chen, 2016. "Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach," Computational Statistics, Springer, vol. 31(1), pages 1-24, March.
- Pan, Qi & Li, Yong, 2013. "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, vol. 35(C), pages 45-50.
- Thomas Nanfeng Li & Agnès Tourin, 2016. "Optimal pairs trading with time-varying volatility," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-29, September.
- Xiao-Bin Liu & Yong Li, 2013. "Bayesian testing volatility persistence in stochastic volatility models with jumps," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1415-1426, December.
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Keywords
Bayes factor; Dickey–Fuller test; Unit root; Stochastic volatility; Nonstationary;Statistics
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