Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5054585 | Economic Modelling | 2013 | 6 Pages |
Abstract
In the literature, some researchers found that the high persistence of the volatility can be caused by Markov regime switching. This concern can be reflected as a unit root problem on the basis of Markov switching models. In this paper, our main purpose is to provide a Bayesian unit root testing approach for Markov switching stochastic volatility (MSSV) models. We illustrate the developed approach using S&P 500 daily return covering the subprime crisis started in 2008.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Qi Pan, Yong Li,