An improved Bayesian unit root test in stochastic volatility models

A new posterior odds analysis is developed to test for a unit root in volatilitydynamics in the context of stochastic volatility models. Our analysis extendsthe Bayesian unit root test of So and Li (1999) in two important ways. First,a mixed informative prior distribution with a random weight is int...

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Bibliographic Details
Main Authors: LI, Yong, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/2311
https://ink.library.smu.edu.sg/context/soe_research/article/3310/viewcontent/aef200104_pv.pdf
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Institution: Singapore Management University
Language: English
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