ASV
Stochastic Volatility Models with or without Leverage
The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.
- Version1.1.4
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release02/15/2024
Documentation
Team
Yasuhiro Omori
Ryuji Hashimoto
Show author detailsRolesctr
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Dependencies
- Imports4 packages
- Linking To3 packages