stochvol (version 3.2.4)

Efficient Bayesian Inference for Stochastic Volatility (SV) Models

Description

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) and Hosszejni and Kastner (2019) ; the most common use cases are described in Hosszejni and Kastner (2021) and Kastner (2016) and the package examples.

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Install

install.packages('stochvol')

Monthly Downloads

1,239

Version

3.2.4

License

GPL (>= 2)

Last Published

March 3rd, 2024

Functions in stochvol (3.2.4)