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A. C. Harvey, E. Ruiz and E. Shephard, “Multivariate Stochastic Variance Models,” Review of Economic Studies, Vol. 61, No. 2, 1994, pp. 247-264. doi:10.2307/2297980

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.