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; CODA; bvarsv; Rcpp; zoo; RcppArmadillo; GIGrvg; rmgarch; CRAN Task Views; factorstochvol; dlm; pomp; fGarch; CRAN; forecast; BSSasymp; JADE; tsBSS; mvtnorm; shrinkTVP
Cited in: 20 Documents

Standard Articles

1 Publication describing the Software Year
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol Link
Gregor Kastner

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