Bayesian unit-root testing in stochastic volatility models

Journal of Business and Economic Statistics

Volumn 17, Issue 4, 1999, Pages 491-496

  So, Mike K P ^a   Li, W K ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

ARCH model; Bayes factor; Data augmentation; Gibbs sampling; Monte Carlo Markov chain; Posterior odds ratio

Indexed keywords

EID: 0033453039     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1999.10524838     Document Type: Article

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