An improved Bayesian unit root test in stochastic volatility models
Yong Li and Jun Yu
| Year of publication: |
2019
|
|---|---|
| Authors: | Li, Yong ; Yu, Jun |
| Published in: |
Annals of economics and finance. - Beijing : Peking University Press, ISSN 1529-7373, ZDB-ID 2097904-6. - Vol. 20.2019, 1, p. 103-122
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| Subject: | Bayes factor | Markov chain Monte Carlo | Posterior odds ratio | Stochastic volatility models | Unit root testing | Theorie | Theory | Einheitswurzeltest | Unit root test | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Bayes-Statistik | Bayesian inference | Schätzung | Estimation |
| 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://ebvufind01.dmz1.zbw.eu/10012110029