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 |