An Efficient Stochastic Simulation Algorithm for Bayesian Unit Root Testing in Stochastic Volatility Models
| Year of publication: |
2011
|
|---|---|
| Authors: | Li, Yong ; Ni, Zhongxin ; Zhang, Jie |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 37.2011, 3, p. 237-248
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Financial times series | Stochastic volatility models | Unit root testing | Bayes factor | Path sampling |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008925915