Quotation Hosszejni, Darjus, Kastner, Gregor. 2021. stochvol.


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Abstract

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 Kastner (2016) <doi:10.18637/jss.v069.i05> and the package vignette.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Software
Title stochvol
Date July 12, 2021
Version 3.1.0
Licence GPL2 or higher
Operating system Linux, Windows, MacOS
Language English
Programming language R, C++

Associations

People
Hosszejni, Darjus (Details)
Kastner, Gregor (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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