%0 Journal Article
%T Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models
%A Yong Li
%A Fang-Ping Peng
%A Hao-Feng Xu
%J Journal of Mathematical Finance
%P 83-89
%@ 2162-2442
%D 2012
%I Scientific Research Publishing
%R 10.4236/jmf.2012.21010
%X 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.
%K Asset Volatility Persistency
%K Bayes Factor
%K Decision Theory
%K Markov Chain Monte Carlo
%K Unit Root Testing
%K Multivariate Stochastic Volatility Models
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=17600