stochvol (2.0.2)

Efficient Bayesian Inference for Stochastic Volatility (SV) Models.

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] (<>), Darjus Hosszejni [aut, cre] (<>)

License: GPL (>= 2)

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

Released 23 days ago.