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 |
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