stochvol (0.6-1)

Efficient Bayesian Inference for Stochastic Volatility (SV) Models.

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

This package provides 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

License: GPL (>= 2)

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

Released over 6 years ago.