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ASV: Stochastic Volatility Models with or without Leverage
The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.
Getting started
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Package details |
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| Author | Yasuhiro Omori [aut, cre], Ryuji Hashimoto [ctr] |
| Maintainer | Yasuhiro Omori <omori.yasuhiro@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.1.4 |
| URL | https://sites.google.com/view/omori-stat/english/software/asv-r |
| Package repository | View on CRAN |
| Installation |
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