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
Cited in
(50)- GVAR
- bayesianVARs
- stochvolTMB
- Sequential Bayesian inference for static parameters in dynamic state space models
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- The heterogeneous impact of monetary policy on the US labor market
- Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
- The copula directional dependence by stochastic volatility models
- Sparse Bayesian time-varying covariance estimation in many dimensions
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Volatility and return jumps in Bitcoin
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- OrthogonalPolynomials
- dlm
- zoo
- fGarch
- pomp
- bvarsv
- JADE
- FKF
- StatDA
- BSSasymp
- MSC
- seasonal
- GIGrvg
- Achieving shrinkage in a time-varying parameter model framework
- Biips
- LibBi
- vSMC
- gets
- MSGARCH
- rmgarch
- NormalBetaPrime
- shrinkTVP
- GEVStableGarch
- factorstochvol
- rSGDLM
- tsBSS
- Specification tests for time-varying parameter models with stochastic volatility
- Blind source separation for compositional time series
- fredr
- Dynamic tail inference with log-Laplace volatility
- The split-SV model
- shrinkDSM
- bsvars
- Forecasting global equity indices using large Bayesian VARs
- Conducting highly principled data science: a statistician's job and joy
- Predicting crypto-currencies using sparse non-Gaussian state space models
- Debt regimes and the effectiveness of monetary policy
- Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers
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