stochvol

cranv3.2.9

Efficient Bayesian Inference for Stochastic Volatility (SV) Models. Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models with and without asymmetry (leverage) via Markov chain Monte Carlo (MCMC) methods. Methodological details are given in Kastner and Frühwirth-Schnatter (2014) <doi:10.1016/j.csda.2013.01.002> and Hosszejni and Kas

License GPL (>= 2)0 versions1 maintainers6 deps407 weekly dl
https://CRAN.R-project.org/package=stochvol
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First published · 2026-03-07 07:07:44

Last updated · 2026-03-07T05:10:02+00:00