Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (MCMC) samplers to conduct inference by obtaining draws from the posterior distribution of parameters and latent variable...
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| Format: | Others |
| Language: | en |
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Foundation for Open Access Statistics
2016
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| Online Access: | http://epub.wu.ac.at/4890/1/v69i05.pdf |