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Article: Bayesian unit-root testing in stochastic volatility models

TitleBayesian unit-root testing in stochastic volatility models
Authors
KeywordsARCH model
Bayes factor
Data augmentation
Gibbs sampling
Monte Carlo Markov chain
Posterior odds ratio
Issue Date1999
PublisherAmerican Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Citation
Journal Of Business And Economic Statistics, 1999, v. 17 n. 4, p. 491-496 How to Cite?
AbstractThis article uses a Bayesian unit-root test in stochastic volatility models. The time series of interest is the volatility that is unobservable. The unit-root testing is based on the posterior odds ratio, which is approximated by Markov-chain Monte Carlo methods. Simulations show that the testing procedure is efficient for moderate sample size. The unit-root hypothesis is rejected in seven market indexes, and some evidence of nonstationarity is observed in the TWSI of Taiwan.
Persistent Identifierhttp://hdl.handle.net/10722/82654
ISSN
2015 Impact Factor: 1.648
2015 SCImago Journal Rankings: 2.566
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorSo, MKPen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:31:52Z-
dc.date.available2010-09-06T08:31:52Z-
dc.date.issued1999en_HK
dc.identifier.citationJournal Of Business And Economic Statistics, 1999, v. 17 n. 4, p. 491-496en_HK
dc.identifier.issn0735-0015en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82654-
dc.description.abstractThis article uses a Bayesian unit-root test in stochastic volatility models. The time series of interest is the volatility that is unobservable. The unit-root testing is based on the posterior odds ratio, which is approximated by Markov-chain Monte Carlo methods. Simulations show that the testing procedure is efficient for moderate sample size. The unit-root hypothesis is rejected in seven market indexes, and some evidence of nonstationarity is observed in the TWSI of Taiwan.en_HK
dc.languageengen_HK
dc.publisherAmerican Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jbes/index.cfm?fuseaction=mainen_HK
dc.relation.ispartofJournal of Business and Economic Statisticsen_HK
dc.subjectARCH modelen_HK
dc.subjectBayes factoren_HK
dc.subjectData augmentationen_HK
dc.subjectGibbs samplingen_HK
dc.subjectMonte Carlo Markov chainen_HK
dc.subjectPosterior odds ratioen_HK
dc.titleBayesian unit-root testing in stochastic volatility modelsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0735-0015&volume=17&issue=4&spage=491&epage=496&date=1999&atitle=Bayesian+unit-root+testing+in+stochastic+volatility+modelsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.2307/1392407-
dc.identifier.scopuseid_2-s2.0-0033453039en_HK
dc.identifier.hkuros47469en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0033453039&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume17en_HK
dc.identifier.issue4en_HK
dc.identifier.spage491en_HK
dc.identifier.epage496en_HK
dc.identifier.isiWOS:000082700900011-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridSo, MKP=7004473851en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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