文章基本信息

标题：Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models
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作者：Yong Li ; Fang-Ping Peng ; Hao-Feng Xu 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2012
卷号：2
期号：1
页码：83-89
DOI：10.4236/jmf.2012.21010
出版社：Scientific Research Publishing
摘要：In empirical finance, it is well-known that the volatility of asset returns is highly persistent. The persistence of the volatility process may be checked by testing for a unit root on stochastic volatility models. In this paper, a Bayesian test statistic based on decision theory is developed for testing a unit root on multivariate stochastic volatility models. At last, the developed approach is applied to investigate the persistent effect of financial crisis on the two main stock markets in China.
关键词：Asset Volatility Persistency; Bayes Factor; Decision Theory; Markov Chain Monte Carlo; Unit Root Testing; Multivariate Stochastic Volatility Models