TY  - GEN
TI  - Heavy-Tailed Innovations in the R Package stochvol
AB  - We document how sampling from a conditional Student's t distribution is implemented in stochvol. Moreover, a simple example using EUR/CHF exchange rates illustrates how to use the augmented sampler. We conclude with results and implications.
AF  - R Package Vignette
UR  - http://cran.r-project.org/web/packages/stochvol/vignettes/heavytails.pdf
PY  - 2015-05-01
AU  - Kastner, Gregor 
ER -