Hosszejni, Darjus, Kastner, Gregor. 2021. stochvol.
BibTeX
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.
Tags
Press 'enter' for creating the tagPublication'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)