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)
Package repositoryView on CRAN
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stochvol documentation built on Sept. 19, 2017, 1:04 a.m.