132 citations · 132 across the 1 of their papers we have counts for
2 papers
stat.CO2019★ 132 cited
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
Gregor Kastner
The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (…
stat.CO2019
Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
Darjus Hosszejni, Gregor Kastner
The sampling efficiency of MCMC methods in Bayesian inference for stochastic volatility (SV) models is known to highly depend on the actual parameter values, and the effectiveness…