An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models (Q630100)
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scientific article; zbMATH DE number 5866866
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| English | An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models |
scientific article; zbMATH DE number 5866866 |
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An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models (English)
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17 March 2011
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financial times series
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stochastic volatility models
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unit root testing
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Bayes factor
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path sampling
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