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Article: Bayesian unit-root testing in stochastic volatility models
Title | Bayesian unit-root testing in stochastic volatility models |
---|---|
Authors | |
Keywords | ARCH model Bayes factor Data augmentation Gibbs sampling Monte Carlo Markov chain Posterior odds ratio |
Issue Date | 1999 |
Publisher | American 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/82654 |
ISSN | 2023 Impact Factor: 2.9 2023 SCImago Journal Rankings: 3.385 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | So, MKP | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.date.accessioned | 2010-09-06T08:31:52Z | - |
dc.date.available | 2010-09-06T08:31:52Z | - |
dc.date.issued | 1999 | en_HK |
dc.identifier.citation | Journal Of Business And Economic Statistics, 1999, v. 17 n. 4, p. 491-496 | en_HK |
dc.identifier.issn | 0735-0015 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82654 | - |
dc.description.abstract | This 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.language | eng | en_HK |
dc.publisher | American Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main | en_HK |
dc.relation.ispartof | Journal of Business and Economic Statistics | en_HK |
dc.subject | ARCH model | en_HK |
dc.subject | Bayes factor | en_HK |
dc.subject | Data augmentation | en_HK |
dc.subject | Gibbs sampling | en_HK |
dc.subject | Monte Carlo Markov chain | en_HK |
dc.subject | Posterior odds ratio | en_HK |
dc.title | Bayesian unit-root testing in stochastic volatility models | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://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+models | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.2307/1392407 | - |
dc.identifier.scopus | eid_2-s2.0-0033453039 | en_HK |
dc.identifier.hkuros | 47469 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0033453039&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 17 | en_HK |
dc.identifier.issue | 4 | en_HK |
dc.identifier.spage | 491 | en_HK |
dc.identifier.epage | 496 | en_HK |
dc.identifier.isi | WOS:000082700900011 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | So, MKP=7004473851 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.issnl | 0735-0015 | - |