stochvol (1.3.3)

0 users

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.

Maintainer: Gregor Kastner
Author(s): Gregor Kastner [aut, cre]

License: GPL (>= 2)

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

Released 7 days ago.


24 previous versions

Ratings

Overall:

  (0 votes)

Documentation:

  (0 votes)

Log in to vote.

Reviews

No one has written a review of stochvol yet. Want to be the first? Write one now.


Related packages: dlm, MSBVAR, bayesGARCH, BAYSTAR, bspec, ensembleBMA, CADFtest, dse, dyn, dynlm, fame, fGarch, fNonlinear, fracdiff, fractal, sde, strucchange, timsac, tseries, TSdbi(20 best matches, based on common tags.)


Search for stochvol on google, google scholar, r-help, r-devel.

Visit stochvol on R Graphical Manual.