stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models
Version 1.3.2

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods.

AuthorGregor Kastner [aut, cre]
Date of publication2016-10-26 14:28:03
MaintainerGregor Kastner <gregor.kastner@wu.ac.at>
LicenseGPL (>= 2)
Version1.3.2
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("stochvol")

Getting started

Package overview

Popular man pages

arpredict: Dynamic prediction for the AR-SV model
exrates: Euro exchange rate data
extractors: Common Extractors for 'svdraws' Objects
plot.svdraws: Graphical Summary of the Posterior Distribution
predict.svdraws: Prediction of Future Log-Volatilities
svsample: Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic...
updatesummary: Updating the Summary of MCMC Draws
See all...

All man pages Function index File listing

Man pages

arpredict: Dynamic prediction for the AR-SV model
exrates: Euro exchange rate data
extractors: Common Extractors for 'svdraws' Objects
logret: Computes (de-meaned) log returns.
paradensplot: Probability Density Function Plot for the Parameter...
paratraceplot: Trace Plot of MCMC Draws from the Parameter Posteriors
plot.svdraws: Graphical Summary of the Posterior Distribution
predict.svdraws: Prediction of Future Log-Volatilities
stochvol-package: Efficient Bayesian Inference for Stochastic Volatility (SV)...
svsample: Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic...
svsample2: Minimal overhead version of 'svsample'.
svsim: Simulating a Stochastic Volatility Process
updatesummary: Updating the Summary of MCMC Draws
volplot: Plotting Quantiles of the Latent Volatilities

Functions

.svsample Man page
arpredict Man page Source code
exrates Man page
latent Man page Source code
latent0 Man page Source code
logret Man page Source code
mydensplot Source code
mytraceplot Source code
onAttach Source code
para Man page Source code
paradensplot Man page Source code
paratraceplot Man page Source code
plot.svdraws Man page Source code
plot.svresid Source code
plot.svsim Source code
predict.svdraws Man page Source code
print.summary.svdraws Source code
print.summary.svsim Source code
print.svdraws Source code
print.svsim Source code
priors Man page Source code
residuals.svdraws Source code
runtime Man page Source code
stochvol Man page
stochvol-package Man page
summary.svdraws Source code
summary.svsim Source code
svsample Man page Source code
svsample2 Man page Source code
svsim Man page Source code
thinning Man page Source code
updatesummary Man page Source code
volplot Man page Source code

Files

inst
inst/CITATION
inst/doc
inst/doc/article.R
inst/doc/heavytails.Rnw
inst/doc/article.pdf
inst/doc/article.Rnw
inst/doc/heavytails.pdf
inst/doc/heavytails.R
inst/include
inst/include/update.h
src
src/Makevars
src/auxmix.cpp
src/densities.h
src/sampler.cpp
src/auxmix.h
src/progutils.cpp
src/Makevars.win
src/sampler.h
src/progutils.h
NAMESPACE
NEWS
data
data/exrates.RData
R
R/plotting.R
R/wrappers.R
R/simulation.R
R/utilities_svdraws.R
R/zzz.R
vignettes
vignettes/Makefile
vignettes/vignette_sampling_realworld.RData
vignettes/heavytails.Rnw
vignettes/extrafig
vignettes/extrafig/predlik_terr.pdf
vignettes/extrafig/predlik1.pdf
vignettes/extrafig/predlik3.pdf
vignettes/article.Rnw
vignettes/macros.tex
vignettes/vignette_sampling_draws2.RData
vignettes/mybib.bib
MD5
build
build/vignette.rds
DESCRIPTION
man
man/volplot.Rd
man/paratraceplot.Rd
man/updatesummary.Rd
man/svsample.Rd
man/svsim.Rd
man/plot.svdraws.Rd
man/exrates.Rd
man/paradensplot.Rd
man/logret.Rd
man/svsample2.Rd
man/stochvol-package.Rd
man/predict.svdraws.Rd
man/extractors.Rd
man/arpredict.Rd
stochvol documentation built on May 20, 2017, 3:19 a.m.

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