[aut],
Darjus Hosszejni
[aut, cre]Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models 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>; the most common use cases are described in Kastner (2016) <doi:10.18637/jss.v069.i05>. Also incorporates SV with leverage.
| Version: | 2.0.4 |
| Depends: | R (≥ 3.0.2), coda |
| Imports: | Rcpp (≥ 0.11), graphics, stats, utils |
| LinkingTo: | Rcpp, RcppArmadillo (≥ 0.4) |
| Suggests: | mvtnorm |
| Published: | 2019-06-26 |
| Author: | Gregor Kastner
[aut],
Darjus Hosszejni
[aut, cre] |
| Maintainer: | Darjus Hosszejni <darjus.hosszejni at wu.ac.at> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Citation: | stochvol citation info |
| Materials: | NEWS |
| In views: | Bayesian, Finance, TimeSeries |
| CRAN checks: | stochvol results |
| Reference manual: | stochvol.pdf |
| Vignettes: |
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol Heavy-Tailed Innovations in the R Package stochvol |
| Package source: | stochvol_2.0.4.tar.gz |
| Windows binaries: | r-devel: stochvol_2.0.4.zip, r-release: stochvol_2.0.4.zip, r-oldrel: stochvol_2.0.4.zip |
| macOS binaries: | r-release: stochvol_2.0.4.tgz, r-oldrel: stochvol_2.0.4.tgz |
| Old sources: | stochvol archive |
| Reverse depends: | factorstochvol |
| Reverse imports: | BGVAR, mfbvar, shrinkTVP |
| Reverse linking to: | BGVAR, factorstochvol, mfbvar, shrinkTVP |
| Reverse suggests: | tensorBSS, tsBSS |
Please use the canonical form https://CRAN.R-project.org/package=stochvol to link to this page.