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.
| Version: |
3.0.4 |
| Depends: |
R (≥ 3.5) |
| Imports: |
Rcpp (≥ 1.0), coda (≥ 0.19), graphics, stats, utils, grDevices |
| LinkingTo: |
Rcpp, RcppArmadillo (≥ 0.9.900) |
| Suggests: |
mvtnorm, testthat (≥ 2.3.2), knitr, LSD (≥ 4.0-0), RColorBrewer, zoo, factorstochvol (≥ 0.10.1) |
| Published: |
2021-02-09 |
| Author: |
Darjus Hosszejni 
[aut, cre],
Gregor Kastner
[aut] |
| Maintainer: |
Darjus Hosszejni <darjus.hosszejni 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 |