stochvol (Q31210): Difference between revisions

← Older edit

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+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 Hosszejni and Kastner (2021) <doi:10.18637/jss.v100.i12> and Kastner (2016) <doi:10.18637/jss.v069.i05> and the package examples.
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+Darjus Hosszejni
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+Gregor Kastner
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+GNU General Public License, version 2.0
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+GNU General Public License, version 3.0
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+Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
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+Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
+Normal rank
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+Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
+Normal rank
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+Dealing with Stochastic Volatility in Time Series Using theRPackagestochvol
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+Q124251214
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+https://github.com/cran/stochvol
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Latest revision as of 19:24, 21 March 2024

Efficient Bayesian Inference for Stochastic Volatility (SV) Models

Language	Label	Description	Also known as
English	stochvol	Efficient Bayesian Inference for Stochastic Volatility (SV) Models

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3.2.1

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10 March 2023

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0.5-0

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23 January 2013

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0.5-1

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28 January 2013

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17 April 2013

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9 July 2013

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10 October 2013

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22 October 2013

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6 February 2014

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7 February 2014

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16 May 2014

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1 July 2014

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16 October 2014

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27 December 2014

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1.0.0

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28 January 2015

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1.1.0

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15 May 2015

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1.1.1

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23 May 2015

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29 June 2015

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30 June 2015

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15 July 2015

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1.2.1

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27 November 2015

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1 January 2016

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18 February 2016

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24 August 2016

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19 October 2016

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26 October 2016

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19 September 2017

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1 February 2019

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2.0.1

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26 February 2019

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27 March 2019

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29 May 2019

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26 June 2019

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3 November 2020

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3.0.1

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4 November 2020

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17 November 2020

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24 November 2020

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9 February 2021

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16 May 2021

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20 May 2021

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3.1.0

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12 July 2021

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3.2.0

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26 November 2021

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3.2.3

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26 November 2023

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26 November 2023

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description

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 Hosszejni and Kastner (2021) <doi:10.18637/jss.v100.i12> and Kastner (2016) <doi:10.18637/jss.v069.i05> and the package examples.

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GNU General Public License, version 2.0

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GNU General Public License, version 3.0

edition/version

expanded from: GPL (≥ 2) (English)