File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Bayesian unit-root testing in stochastic volatility models

TitleBayesian unit-root testing in stochastic volatility models
Authors
So, MKPLi, WK
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?
DOI: http://dx.doi.org/10.2307/1392407
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
0735-0015
2023 Impact Factor: 2.9
2023 SCImago Journal Rankings: 3.385
ISI Accession Number ID
WOS:000082700900011
References
References in Scopus

 

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
dc.identifier.issnl0735-0015-

Export via OAI-PMH Interface in XML Formats

OR

Export to Other Non-XML Formats