stochvol (2.0.4)

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Efficient Bayesian Inference for Stochastic Volatility (SV) Models.

http://cran.r-project.org/web/packages/stochvol

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods. Methodological details are given in Kastner and Frhwirth-Schnatter (2014) ; the most common use cases are described in Kastner (2016) . Also incorporates SV with leverage.

Maintainer: Darjus Hosszejni
Author(s): Gregor Kastner [aut] (<https://orcid.org/0000-0002-8237-8271>), Darjus Hosszejni [aut, cre] (<https://orcid.org/0000-0002-3803-691X>)

License: GPL (>= 2)

Uses: coda, Rcpp, mvtnorm
Reverse depends: factorstochvol
Reverse suggests: tensorBSS, tsBSS

Released 5 months ago.


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