Bayesian Unit-root Testing in Stochastic Volatility Models with Correlated Errors

@inproceedings{Kalaylolu2013BayesianUT,
  title={Bayesian Unit-root Testing in Stochastic Volatility Models with Correlated Errors},
  author={Zeynep I. Kalaylıoğlu and Burak Bozdemir and Sujit K. Ghosh},
  year={2013}
}
A series of returns are often modeled using stochastic volatility models. Many observed financial series exhibit unit-root non-stationary behavior in the latent AR(1) volatility process and tests for a unit-root become necessary, especially when the error process of the returns is correlated with the error terms of the AR(1) process. In this paper, we… CONTINUE READING