stochvol
swMATH19383WikidataQ124251214 ScholiaQ124251214CRANstochvolMaRDI QIDQ31210FDOQ31210
Efficient Bayesian Inference for Stochastic Volatility (SV) Models
Gregor Kastner, Darjus Hosszejni
Last update: 26 November 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 3.2.1, 0.5-0, 0.5-1, 0.6-0, 0.6-1, 0.7-0, 0.7-1, 0.8-0, 0.8-1, 0.8-2, 0.8-4, 0.9-0, 0.9-1, 1.0.0, 1.1.0, 1.1.1, 1.1.2, 1.1.3, 1.2.0, 1.2.1, 1.2.2, 1.2.3, 1.3.0, 1.3.1, 1.3.2, 1.3.3, 2.0.0, 2.0.1, 2.0.2, 2.0.3, 2.0.4, 3.0.0, 3.0.1, 3.0.2, 3.0.3, 3.0.4, 3.0.5, 3.0.6, 3.1.0, 3.2.0, 3.2.3
Source code repository: https://github.com/cran/stochvol
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.
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
- Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
- Dealing with Stochastic Volatility in Time Series Using theRPackagestochvol
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- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
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- bsvars
- Blind source separation for compositional time series
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
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- Dynamic tail inference with log-Laplace volatility
- Volatility and return jumps in Bitcoin
- BGVAR
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