To cite package stochvol in publications use:

Gregor Kastner (forthcoming). Dealing with Stochastic Volatility in Time Series Using the R Package stochvol. Journal of Statistical Software. URL: http://cran.r-project.org/web/packages/stochvol/vignettes/article.pdf

To refer to the current version of the package you could use:

Gregor Kastner (2015). stochvol: Efficient Bayesian inference for stochastic volatility (SV) models. R package version 1.2.1. URL: http://cran.r-project.org/package=stochvol

To refer to the sampling methodology used in stochvol please cite:

Gregor Kastner, Sylvia Frühwirth-Schnatter (2014). Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models. Computational Statistics & Data Analysis 76:408-423. URL: http://dx.doi.org/10.1016/j.csda.2013.01.002

If you want to specifically refer to the conditional Student's t sampler, use:

Gregor Kastner (2015). Heavy-Tailed Innovations in the R Package stochvol. R Package Vignette. URL: http://cran.r-project.org/web/packages/stochvol/vignettes/heavytails.pdf

BibTeX entries of the above can be obtained by ‘toBibtex(citation("stochvol"))’

Corresponding BibTeX entries:

@Article{, title = {Dealing with Stochastic Volatility in Time Series Using the {R} Package stochvol}, author = {Gregor Kastner}, journal = {Journal of Statistical Software}, year = {forthcoming}, url = {http://cran.r-project.org/web/packages/stochvol/vignettes/article.pdf}, }

@Manual{, title = {{stochvol}: Efficient Bayesian Inference for Stochastic Volatility ({SV}) Models}, author = {Gregor Kastner}, year = {2015}, note = {R package version 1.2.1}, url = {http://cran.r-project.org/package=stochvol}, }

@Article{, title = {Ancillarity-Sufficiency Interweaving Strategy ({ASIS}) for Boosting {MCMC} Estimation of Stochastic Volatility Models}, author = {Gregor Kastner and Sylvia Fr\"{u}hwirth-Schnatter}, journal = {Computational Statistics \& Data Analysis}, year = {2014}, volume = {76}, pages = {408--423}, url = {http://dx.doi.org/10.1016/j.csda.2013.01.002}, }

@TechReport{, title = {Heavy-Tailed Innovations in the {R} Package stochvol}, author = {Gregor Kastner}, type = {R Package Vignette}, institution = {CRAN}, year = {2015}, url = {http://cran.r-project.org/web/packages/stochvol/vignettes/heavytails.pdf}, }