stochvol swMATH ID: 19383 Software Authors: Gregor Kastner Description: R package stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models. Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods. Homepage: https://cran.r-project.org/web/packages/stochvol/index.html Source Code: https://github.com/cran/stochvol Reference Manual: https://cran.r-project.org/web/packages/stochvol/stochvol.pdf Dependencies: R Related Software: R; bvarsv; CODA; Rcpp; zoo; RcppArmadillo; GIGrvg; factorstochvol; dlm; pomp; CRAN Task Views; fGarch; Stan; JAGS; glmnet; mvtnorm; snow; shrinkTVP; Rugarch; vSMC Cited in: 19 Publications Standard Articles 1 Publication describing the Software Year all top 5 Cited by 33 Authors 3 Huber, Florian 3 Kastner, Gregor 2 Frühwirth-Schnatter, Sylvia 2 Zörner, Thomas Otto 1 Ankargren, Sebastian 1 Barata, Raquel 1 Bhattacharya, Arnab 1 Bitto, Angela 1 Böck, Maximilian 1 Chaim, Pedro 1 Chan, Joshua C. C. 1 Chavez, Gordon V. 1 Czado, Claudia 1 De Luigi, Clara 1 Filzmoser, Peter 1 Fischer, Gregor 1 Hosszejni, Darjus 1 Hotz-Behofsits, Christian 1 Kim, Jongmin 1 Krisztin, Tamás 1 Laurini, Márcio Poletti 1 Meng, Xiaoli 1 Milovanović, Gradimir V. 1 Nordhausen, Klaus 1 Piribauer, Philipp 1 Popović, Biljana Č. 1 Prado, Raquel 1 Sansó, Bruno 1 Stojanović, Vladica S. 1 Unosson, Måns 1 Wilson, Simon P. 1 Yang, Yukai 1 Zens, Gregor all top 5 Cited in 14 Serials 3 Computational Statistics and Data Analysis 2 Journal of Econometrics 2 Journal of Economic Dynamics & Control 1 Statistics & Probability Letters 1 Econometric Reviews 1 Economics Letters 1 Communications in Statistics. Simulation and Computation 1 Extremes 1 Journal of Forecasting 1 The Annals of Applied Statistics 1 Mathematical Geosciences 1 Bulletin of Economic Research 1 Journal of Computational and Graphical Statistics 1 Journal of Time Series Econometrics all top 5 Cited in 6 Fields 18 Statistics (62-XX) 5 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Probability theory and stochastic processes (60-XX) 2 Geophysics (86-XX) 1 Numerical analysis (65-XX) 1 Astronomy and astrophysics (85-XX) Citations by Year