Testing for a unit root in the presence of stochastic volatility and leverage effect
Yong Li; Terence Tai-Leung Chong; Jie Zhang
| Year of publication: |
2012
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|---|---|
| Authors: | Li, Yong ; Chong, Terence Tai-Leung ; Zhang, Jie |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 5, p. 2035-2038
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| Subject: | Bayes factor | Leverage effect | Unit root | Stationarity | Stochastic volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Volatilität | Volatility | Einheitswurzeltest | Unit root test | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009666985