Kastner, Gregor. 2017. stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models.
BibTeX
Abstract
Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Software |
| Title | stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models |
| Date | Sept. 19, 2017 |
| Version | 1.3.3 |
| Licence | GPL-2 | GPL-3 |
| Operating system | Linux, Windows, OS X |
| Language | English |
| Programming language | R, C, C++ |
Associations
- People
- Kastner, Gregor (Details)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1105 Computer software (Details)
- 1162 Statistics (Details)
- 5323 Econometrics (Details)
- 5701 Applied statistics (Details)
- 5707 Time series analysis (Details)