An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models
Yong Li; Zhongxin Ni; Jie Zhang
| Year of publication: |
2011
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|---|---|
| Authors: | Li, Yong ; Ni, Zhongxin ; Zhang, Jie |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 37.2011, 3, p. 237-248
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| Subject: | Stochastischer Prozess | Stochastic process | Simulation | Theorie | Theory | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008902927