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

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

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

View on CRAN

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.