## Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models

- Yong Li, Fang-Ping Peng, Hao-Feng Xu
- 2013

@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} }

- Published 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

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