Bayesian unit root testing in unobserved-ARCH models

DOI10.1080/03610918.2010.533228zbMATH Open1209.62037OpenAlexW1978878349MaRDI QIDQ3085305FDOQ3085305

Authors: Fazlollah Lak 

Publication date: 31 March 2011

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.533228

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Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Markov chains for exploring posterior distributions. (With discussion)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Marginal Likelihood from the Gibbs Output
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Monte Carlo sampling methods using Markov chains and their applications
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Likelihood-Based Estimation of Latent Generalized ARCH Structures

Cited In (9)

• Bayesian unit root test in nonnormal AR(1) model
• Bayesian testing volatility persistence in stochastic volatility models with jumps
• An efficiency Bayesian unit root test in unobserved-ARCH models
• A local unit root test in mean for financial time series
• Bayesian Unit Root Test for Time Series Models with Structural Breaks
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
• An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models
• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
• Bayesian unit-root testing in stochastic volatility models with correlated errors

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