This article uses a Bayesian unit-root test in stochastic volatility models. The time series of interest is the volatility that is unobservable. The unit-root testing is based on the posterior odds ...
Econometric Theory, Vol. 27, No. 5, Bootstrap and Numerical Methods in Time Series (October 2011), pp. 957-991 (35 pages) We analyze the impact of nonstationary volatility on the break fraction ...
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