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

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models with and without asymmetry (leverage) via Markov chain Monte Carlo (MCMC) methods. Methodological details are given in Kastner and Frühwirth-Schnatter (2014) <doi:10.1016/j.csda.2013.01.002> and Hosszejni and Kastner (2019) <doi:10.1007/978-3-030-30611-3_8>; the most common use cases are described in Kastner (2016) <doi:10.18637/jss.v069.i05> and the package vignette.

Package details

AuthorDarjus Hosszejni [aut, cre] (<https://orcid.org/0000-0002-3803-691X>), Gregor Kastner [aut] (<https://orcid.org/0000-0002-8237-8271>)
MaintainerDarjus Hosszejni <darjus.hosszejni@wu.ac.at>
LicenseGPL (>= 2)
Version3.0.6
URL https://gregorkastner.github.io/stochvol/
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 May 20, 2021, 5:08 p.m.