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.

Package details

AuthorGregor Kastner [aut, cre]
MaintainerGregor Kastner <[email protected]>
LicenseGPL (>= 2)
Version1.3.3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("stochvol")

Try the stochvol package in your browser

Any scripts or data that you put into this service are public.

stochvol documentation built on Sept. 19, 2017, 1:04 a.m.