stochvol (Q31210): Difference between revisions

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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
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-Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
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-Dealing with Stochastic Volatility in Time Series Using theRPackagestochvol
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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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+Gregor Kastner
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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
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+Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
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+Dealing with Stochastic Volatility in Time Series Using theRPackagestochvol
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+Software:31210

Latest revision as of 18:24, 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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instance of

R package

0 references

software version identifier

3.2.1

publication date

10 March 2023

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0.5-0

publication date

23 January 2013

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0.5-1

publication date

28 January 2013

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0.6-0

publication date

17 April 2013

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0.6-1

publication date

9 July 2013

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0.7-0

publication date

10 October 2013

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0.7-1

publication date

22 October 2013

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0.8-0

publication date

6 February 2014

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0.8-1

publication date

7 February 2014

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0.8-2

publication date

16 May 2014

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0.8-4

publication date

1 July 2014

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0.9-0

publication date

16 October 2014

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0.9-1

publication date

27 December 2014

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1.0.0

publication date

28 January 2015

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1.1.0

publication date

15 May 2015

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1.1.1

publication date

23 May 2015

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1.1.2

publication date

29 June 2015

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1.1.3

publication date

30 June 2015

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1.2.0

publication date

15 July 2015

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1.2.1

publication date

27 November 2015

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1.2.2

publication date

1 January 2016

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1.2.3

publication date

18 February 2016

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1.3.0

publication date

24 August 2016

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1.3.1

publication date

19 October 2016

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1.3.2

publication date

26 October 2016

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1.3.3

publication date

19 September 2017

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2.0.0

publication date

1 February 2019

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2.0.1

publication date

26 February 2019

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2.0.2

publication date

27 March 2019

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2.0.3

publication date

29 May 2019

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2.0.4

publication date

26 June 2019

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3.0.0

publication date

3 November 2020

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3.0.1

publication date

4 November 2020

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3.0.2

publication date

17 November 2020

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3.0.3

publication date

24 November 2020

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3.0.4

publication date

9 February 2021

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3.0.5

publication date

16 May 2021

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3.0.6

publication date

20 May 2021

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3.1.0

publication date

12 July 2021

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3.2.0

publication date

26 November 2021

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3.2.3

publication date

26 November 2023

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0 references

0 references

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)