Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.0.0), coda |
| Imports: | methods, Rcpp (≥ 0.11.0) |
| LinkingTo: | Rcpp |
| Suggests: | mvtnorm |
| Published: | 2015-01-28 |
| Author: | Gregor Kastner [aut, cre] |
| Maintainer: | Gregor Kastner <gregor.kastner at wu.ac.at> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Citation: | stochvol citation info |
| Materials: | NEWS |
| In views: | Bayesian, Finance, TimeSeries |
| CRAN checks: | stochvol results |
| Reference manual: | stochvol.pdf |
| Vignettes: |
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol |
| Package source: | stochvol_1.0.0.tar.gz |
| Windows binaries: | r-devel: stochvol_1.0.0.zip, r-release: stochvol_1.0.0.zip, r-oldrel: stochvol_1.0.0.zip |
| OS X Snow Leopard binaries: | r-release: stochvol_1.0.0.tgz, r-oldrel: stochvol_1.0.0.tgz |
| OS X Mavericks binaries: | r-release: stochvol_1.0.0.tgz |
| Old sources: | stochvol archive |