This package provides efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods.
| Version: | 0.6-0 |
| Depends: | R (≥ 2.14), Rcpp (≥ 0.9.10), coda |
| LinkingTo: | Rcpp |
| Published: | 2013-04-17 |
| Author: | Gregor Kastner |
| Maintainer: | Gregor Kastner <gregor.kastner at wu.ac.at> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| In views: | Bayesian, Finance, TimeSeries |
| CRAN checks: | stochvol results |
| Package source: | stochvol_0.6-0.tar.gz |
| MacOS X binary: | stochvol_0.6-0.tgz |
| Windows binary: | stochvol_0.6-0.zip |
| Reference manual: | stochvol.pdf |
| News/ChangeLog: | NEWS |
| Old sources: | stochvol archive |