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 Hosszejni and Kastner (2021) <doi:10.18637/jss.v100.i12> and Kastner (2016) <doi:10.18637/jss.v069.i05> and the package examples.
Version: 3.2.5 Depends: R (≥ 3.5) Imports: Rcpp (≥ 1.0), coda (≥ 0.19), graphics, stats, utils, grDevices LinkingTo: Rcpp, RcppArmadillo (≥ 0.9.900) Suggests: testthat (≥ 2.3.2), mvtnorm, knitr Published: 2024-10-28 DOI: 10.32614/CRAN.package.stochvol Author: Darjus Hosszejni [aut, cre], Gregor Kastner [aut] Maintainer: Darjus Hosszejni <darjus.hosszejni at icloud.com> BugReports: https://github.com/gregorkastner/stochvol/issues License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] URL: https://gregorkastner.github.io/stochvol/ NeedsCompilation: yes Citation: stochvol citation info Materials: NEWS In views: Bayesian, Finance, TimeSeries CRAN checks: stochvol resultsRetroSearch is an open source project built by @garambo | Open a GitHub Issue
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