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 1.2.0. 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 1.2.0},
    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},
  }