Returns and risk on Bitcoin: a volatility measurement by unit root test
نویسندگان
چکیده
منابع مشابه
A New Bayesian Unit Root Test in Stochastic Volatility Models∗
A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. Our analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business and Economic Statistics) in the two important ways. First, a numerically more stable algorithm is introduced to compute Bayes factors, taking into account the special stru...
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ژورنال
عنوان ژورنال: Pressacademia
سال: 2019
ISSN: 2146-7943
DOI: 10.17261/pressacademia.2019.1161