Quotation Kastner, Gregor. 2017. stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models.


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Abstract

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods.

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Publication's profile

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 (Ă–STAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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