Testing for a unit root in the presence of stochastic volatility and leverage effect
Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that the...
Gespeichert in:
| Veröffentlicht in: | Economic modelling 2012-09, Vol.29 (5), p.2035-2038 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 2038 |
|---|---|
| container_issue | 5 |
| container_start_page | 2035 |
| container_title | Economic modelling |
| container_volume | 29 |
| creator | Li, Yong Chong, Terence Tai-Leung Zhang, Jie |
| description | Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that the proposed Bayesian unit root test statistic achieves good finite sample properties and is robust to the stationarity of stochastic volatility.
► We develop a Bayesian unit root test for AR(1) models with stochastic volatility. ► We illustrate the finite sample performance using simulation studies. ► The results show that it is satisfactory under all scenarios of volatility. |
| doi_str_mv | 10.1016/j.econmod.2012.04.007 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_1034349967</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0264999312001009</els_id><sourcerecordid>2727577471</sourcerecordid><originalsourceid>FETCH-LOGICAL-c434t-134cb3d1f64d7fd036224959627dcec55d835bf5157c5ed4cb8a5fe45cce33973</originalsourceid><addsrcrecordid>eNqFkE1rGzEQhkVIoa7bn1AQ5JLLbvW91qmE0DYBQy_uWcjSyJZZr1xJNuTfV4t96iWnuTzvOzMPQl8p6Smh6tuhB5emY_I9I5T1RPSEDHdoQVcD7xRl7B4tCFOi01rzj-hTKQdCCKNCL9BmA6XGaYdDytji8xQrzilVHCdc94BPGQpMDnAKuNTk9rbhDl_SaGscY33DdvJ4hAtkuwMMIYCrn9GHYMcCX25zif78_LF5funWv3-9Pj-tOye4qB3lwm25p0EJPwRPuGJMaKkVG7wDJ6VfcbkNksrBSfANXlkZQEjngHM98CV6vPaecvp7bo-YYywOxtFOkM7FUMLbIq3VjD78hx7SOU_tupkimiutVo2SV8rlVEqGYE45Hm1-a5CZXZuDubk2s2tDhGmuW-77NQft20uEbIqLszYfc_NhfIrvNPwDGfmKPA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1030936968</pqid></control><display><type>article</type><title>Testing for a unit root in the presence of stochastic volatility and leverage effect</title><source>Elsevier ScienceDirect Journals</source><creator>Li, Yong ; Chong, Terence Tai-Leung ; Zhang, Jie</creator><creatorcontrib>Li, Yong ; Chong, Terence Tai-Leung ; Zhang, Jie</creatorcontrib><description>Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that the proposed Bayesian unit root test statistic achieves good finite sample properties and is robust to the stationarity of stochastic volatility.
► We develop a Bayesian unit root test for AR(1) models with stochastic volatility. ► We illustrate the finite sample performance using simulation studies. ► The results show that it is satisfactory under all scenarios of volatility.</description><identifier>ISSN: 0264-9993</identifier><identifier>EISSN: 1873-6122</identifier><identifier>DOI: 10.1016/j.econmod.2012.04.007</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Bayes factor ; Bayesian analysis ; Bayesian method ; Economic models ; Leverage ; Leverage effect ; Monte Carlo simulation ; Stationarity ; Stochastic models ; Stochastic volatility ; Studies ; Unit root ; Volatility</subject><ispartof>Economic modelling, 2012-09, Vol.29 (5), p.2035-2038</ispartof><rights>2012 Elsevier B.V.</rights><rights>Copyright Elsevier Science Ltd. Sep 2012</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c434t-134cb3d1f64d7fd036224959627dcec55d835bf5157c5ed4cb8a5fe45cce33973</citedby><cites>FETCH-LOGICAL-c434t-134cb3d1f64d7fd036224959627dcec55d835bf5157c5ed4cb8a5fe45cce33973</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.sciencedirect.com/science/article/pii/S0264999312001009$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3537,27901,27902,65306</link.rule.ids></links><search><creatorcontrib>Li, Yong</creatorcontrib><creatorcontrib>Chong, Terence Tai-Leung</creatorcontrib><creatorcontrib>Zhang, Jie</creatorcontrib><title>Testing for a unit root in the presence of stochastic volatility and leverage effect</title><title>Economic modelling</title><description>Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that the proposed Bayesian unit root test statistic achieves good finite sample properties and is robust to the stationarity of stochastic volatility.
► We develop a Bayesian unit root test for AR(1) models with stochastic volatility. ► We illustrate the finite sample performance using simulation studies. ► The results show that it is satisfactory under all scenarios of volatility.</description><subject>Bayes factor</subject><subject>Bayesian analysis</subject><subject>Bayesian method</subject><subject>Economic models</subject><subject>Leverage</subject><subject>Leverage effect</subject><subject>Monte Carlo simulation</subject><subject>Stationarity</subject><subject>Stochastic models</subject><subject>Stochastic volatility</subject><subject>Studies</subject><subject>Unit root</subject><subject>Volatility</subject><issn>0264-9993</issn><issn>1873-6122</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><recordid>eNqFkE1rGzEQhkVIoa7bn1AQ5JLLbvW91qmE0DYBQy_uWcjSyJZZr1xJNuTfV4t96iWnuTzvOzMPQl8p6Smh6tuhB5emY_I9I5T1RPSEDHdoQVcD7xRl7B4tCFOi01rzj-hTKQdCCKNCL9BmA6XGaYdDytji8xQrzilVHCdc94BPGQpMDnAKuNTk9rbhDl_SaGscY33DdvJ4hAtkuwMMIYCrn9GHYMcCX25zif78_LF5funWv3-9Pj-tOye4qB3lwm25p0EJPwRPuGJMaKkVG7wDJ6VfcbkNksrBSfANXlkZQEjngHM98CV6vPaecvp7bo-YYywOxtFOkM7FUMLbIq3VjD78hx7SOU_tupkimiutVo2SV8rlVEqGYE45Hm1-a5CZXZuDubk2s2tDhGmuW-77NQft20uEbIqLszYfc_NhfIrvNPwDGfmKPA</recordid><startdate>20120901</startdate><enddate>20120901</enddate><creator>Li, Yong</creator><creator>Chong, Terence Tai-Leung</creator><creator>Zhang, Jie</creator><general>Elsevier B.V</general><general>Elsevier Science Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20120901</creationdate><title>Testing for a unit root in the presence of stochastic volatility and leverage effect</title><author>Li, Yong ; Chong, Terence Tai-Leung ; Zhang, Jie</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c434t-134cb3d1f64d7fd036224959627dcec55d835bf5157c5ed4cb8a5fe45cce33973</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>Bayes factor</topic><topic>Bayesian analysis</topic><topic>Bayesian method</topic><topic>Economic models</topic><topic>Leverage</topic><topic>Leverage effect</topic><topic>Monte Carlo simulation</topic><topic>Stationarity</topic><topic>Stochastic models</topic><topic>Stochastic volatility</topic><topic>Studies</topic><topic>Unit root</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Li, Yong</creatorcontrib><creatorcontrib>Chong, Terence Tai-Leung</creatorcontrib><creatorcontrib>Zhang, Jie</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Economic modelling</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Li, Yong</au><au>Chong, Terence Tai-Leung</au><au>Zhang, Jie</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Testing for a unit root in the presence of stochastic volatility and leverage effect</atitle><jtitle>Economic modelling</jtitle><date>2012-09-01</date><risdate>2012</risdate><volume>29</volume><issue>5</issue><spage>2035</spage><epage>2038</epage><pages>2035-2038</pages><issn>0264-9993</issn><eissn>1873-6122</eissn><abstract>Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that the proposed Bayesian unit root test statistic achieves good finite sample properties and is robust to the stationarity of stochastic volatility.
► We develop a Bayesian unit root test for AR(1) models with stochastic volatility. ► We illustrate the finite sample performance using simulation studies. ► The results show that it is satisfactory under all scenarios of volatility.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.econmod.2012.04.007</doi><tpages>4</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0264-9993 |
| ispartof | Economic modelling, 2012-09, Vol.29 (5), p.2035-2038 |
| issn | 0264-9993 1873-6122 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1034349967 |
| source | Elsevier ScienceDirect Journals |
| subjects | Bayes factor Bayesian analysis Bayesian method Economic models Leverage Leverage effect Monte Carlo simulation Stationarity Stochastic models Stochastic volatility Studies Unit root Volatility |
| title | Testing for a unit root in the presence of stochastic volatility and leverage effect |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-29T16%3A17%3A43IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Testing%20for%20a%20unit%20root%20in%20the%20presence%20of%20stochastic%20volatility%20and%20leverage%20effect&rft.jtitle=Economic%20modelling&rft.au=Li,%20Yong&rft.date=2012-09-01&rft.volume=29&rft.issue=5&rft.spage=2035&rft.epage=2038&rft.pages=2035-2038&rft.issn=0264-9993&rft.eissn=1873-6122&rft_id=info:doi/10.1016/j.econmod.2012.04.007&rft_dat=%3Cproquest_cross%3E2727577471%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1030936968&rft_id=info:pmid/&rft_els_id=S0264999312001009&rfr_iscdi=true |