A local unit root test in mean for financial time series

DOI10.1080/00949655.2015.1037765MaRDI QIDQ5222373zbMATH OpenOpenAlexFDO

Authors Cathy W. S. Chen, Sangyeol Lee

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1037765

zbMATH Keywords

GARCHBayesian hypothesis testingMarkov chain Monte Carlo methodmean reversionunit-root testsmooth transitionposterior odds ratio

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
• Bayesian unit root testing in unobserved-ARCH models
• An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models
• A robust Bayesian approach for unit root testing
• Unit roots: Bayesian significance test

Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 775742 (Why is no real title available?)
• A Bayesian analysis of the unit root in real exchange rates
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayes Factors
• Bayesian hypothesis testing in latent variable models
• Bayesian model selection for unit root testing with multiple structural breaks
• Bayesian skepticism on unit root econometrics
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Hedging mean-reverting commodities
• Long memory and regime switching
• Marginal Likelihood from the Gibbs Output
• Modeling and pricing long memory in stock market volatility
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• On a threshold autoregression with conditional heteroscedastic variances
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Stability of nonlinear AR-GARCH models
• Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
• Testing for a unit root in the nonlinear STAR framework
• Testing for a unit root in time series regression
• Testing for unit roots in a Bayesian framework
• Testing precise hypotheses. With comments and a rejoinder by the authors
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The Calculation of Posterior Distributions by Data Augmentation
• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• Threshold models in non-linear time series analysis
• Unit root tests in three‐regime SETAR models
• Unit roots: Bayesian significance test

Cited in

(2)

• The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach

This page was built for publication: A local unit root test in mean for financial time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222373)