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Bayesian unit-root testing in stochastic volatility models
Mike K. P. SO,
Wai Keung LI
Department of Mathematics and Information Technology (MIT)
Research output
:
Contribution to journal
›
Articles
›
peer-review
15
Citations (Scopus)
Overview
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Dive into the research topics of 'Bayesian unit-root testing in stochastic volatility models'. Together they form a unique fingerprint.
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Business & Economics
Nonstationarity
100%
Unit Root Testing
76%
Sample Size
73%
Markov Chain Monte Carlo Methods
72%
Odds Ratio
71%
Market Index
60%
Stochastic Volatility Model
59%
Unit Root
55%
Unit Root Tests
55%
Testing
45%
Taiwan
41%
Simulation
36%
Mathematics
Stochastic Volatility Model
71%
Unit Root
68%
Taiwan
40%
Unit Root Tests
39%
Testing
38%
Nonstationarity
35%
Odds Ratio
32%
Volatility
30%
Market
27%
Time series
24%
Evidence
22%
Sample Size
20%
Simulation
16%
Social Sciences
testing procedure
70%
time series
56%
Taiwan
45%
simulation
42%
market
30%
evidence
22%