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S. Chib, “Marginal Likelihood from the Gibbs Output,” Journal of the American Statistical Association, Vol. 90, No. 432, 1995, pp. 1313-1321. doi:10.2307/2291521

has been cited by the following article:

• TITLE: Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models

  AUTHORS: Yong Li, Fang-Ping Peng, Hao-Feng Xu

  KEYWORDS: Asset Volatility Persistency; Bayes Factor; Decision Theory; Markov Chain Monte Carlo; Unit Root Testing; Multivariate Stochastic Volatility Models

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.1, February 28, 2012

  ABSTRACT: 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.