An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models
type: Item
instance of: scholarly article
title: An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models
zbMATH Open document ID: 1207.91074
author: Yong Li
author: Zhongxin Ni
author: Jie Zhang
published in: Computational Economics
publication date: 2011-03-17T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5866866
zbMATH Keywords: financial times series
zbMATH Keywords: stochastic volatility models
zbMATH Keywords: unit root testing
zbMATH Keywords: Bayes factor
zbMATH Keywords: path sampling
describes a project that uses: R2WinBUGS
describes a project that uses: R
describes a project that uses: BUGS
describes a project that uses: tsbridge
describes a project that uses: WinBUGS
MaRDI profile type: Publication
full work available at URL: s10614-011-9252-4
OpenAlex ID: W1996812449
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DOI: 10.1007/S10614-011-9252-4
description: scientific article; zbMATH DE number 5866866