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.

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

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