stochvol (Q31210)
From MaRDI portal
Efficient Bayesian Inference for Stochastic Volatility (SV) Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | stochvol |
Efficient Bayesian Inference for Stochastic Volatility (SV) Models |
Statements
26 November 2023
0 references
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.
0 references
expanded from: GPL (≥ 2) (English)
0 references
0 references
0 references
0 references
