ASV (Q92877): Difference between revisions

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@@ Property / programmed in @@
-R
@@ Property / programmed in: R / rank @@
-Normal rank
@@ Property / last update @@
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@@ Property / last update: 19 October 2022 / rank @@
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@@ Property / author @@
-Yasuhiro Omori
@@ Property / author: Yasuhiro Omori / rank @@
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-GNU General Public License, version 2.0
@@ Property / copyright license: GNU General Public License, version 2.0 / rank @@
-Normal rank
@@ Property / copyright license @@
-GNU General Public License, version 3.0
@@ Property / copyright license: GNU General Public License, version 3.0 / rank @@
-Normal rank
-edition/version: expanded from: GPL (≥ 2) (English)
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@@ Property / imports: Rcpp / rank @@
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@@ Property / description @@
+The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.
+Normal rank
@@ Property / author @@
+Yasuhiro Omori
@@ Property / author: Yasuhiro Omori / rank @@
+Normal rank
@@ Property / copyright license @@
+GNU General Public License, version 2.0
@@ Property / copyright license: GNU General Public License, version 2.0 / rank @@
+Normal rank
@@ Property / copyright license @@
+GNU General Public License, version 3.0
@@ Property / copyright license: GNU General Public License, version 3.0 / rank @@
+Normal rank
+edition/version: expanded from: GPL (≥ 2) (English)
@@ Property / imports @@
+Rcpp
@@ Property / imports: Rcpp / rank @@
+Normal rank
@@ Property / imports: Rcpp / qualifier @@
+software version identifier: ≥ 1.0.7
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+MaRDI software profile
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@@ links / mardi / name / links / mardi / name @@
+Software:92877

Latest revision as of 19:56, 12 March 2024

Stochastic Volatility Models with or without Leverage

Language	Label	Description	Also known as
English	ASV	Stochastic Volatility Models with or without Leverage

Statements

instance of

R package

0 references

software version identifier

1.1.1

publication date

19 October 2022

0 references

1.0.0

publication date

2 June 2022

0 references

1.1.0

publication date

2 September 2022

0 references

1.1.2

publication date

19 January 2024

0 references

1.1.4

publication date

15 February 2024

0 references

0 references

0 references

0 references

15 February 2024

0 references

description

The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.

0 references

author

Yasuhiro Omori

0 references

copyright license

GNU General Public License, version 2.0

0 references

GNU General Public License, version 3.0

edition/version

expanded from: GPL (≥ 2) (English)

0 references

imports