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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- 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.
- Magris Martin & Iosifidis Alexandros, 2021. "Approximate Bayes factors for unit root testing," Papers 2102.10048, arXiv.org, revised Feb 2021.
- 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.
- Pan, Qi & Li, Yong, 2013. "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, vol. 35(C), pages 45-50.
- T. N. Li & A. Tourin, 2021. "Optimal Pairs Trading with Time-Varying Volatility," Papers 2111.02834, arXiv.org.
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Keywords
Bayes factor; Dickey–Fuller test; Unit root; Stochastic volatility; Nonstationary;All these keywords.
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