299 citations · 844 across the 14 of their papers we have counts for
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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★ 47 cited
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
Darjus Hosszejni, Gregor Kastner
Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the larg…
stat.CO2019★ 13 cited
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…