stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models

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

Version: 0.8-4
Depends: R (≥ 2.14), coda
Imports: methods, Rcpp (≥ 0.9.10)
LinkingTo: Rcpp
Suggests: mvtnorm
Published: 2014-07-01
Author: Gregor Kastner [aut, cre]
Maintainer: Gregor Kastner <gregor.kastner 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

Downloads:

Reference manual: stochvol.pdf
Vignettes: Dealing With Stochastic Volatility in Time Series Using the R Package stochvol
Package source: stochvol_0.8-4.tar.gz
Windows binaries: r-devel: stochvol_0.8-4.zip, r-release: stochvol_0.8-4.zip, r-oldrel: stochvol_0.8-4.zip
OS X Snow Leopard binaries: r-release: stochvol_0.8-4.tgz, r-oldrel: stochvol_0.8-4.tgz
OS X Mavericks binaries: r-release: stochvol_0.8-4.tgz
Old sources: stochvol archive