Re: [R] [R-SIG-Finance] where do I find stochastic volatilities models in R or Matlab?

From: Brian G. Peterson <brian_at_braverock.com>
Date: Thu, 07 Feb 2008 05:13:53 -0600

Michael wrote:
> Does anybody have the source code of stochastic volatility models in R
> or Matlab, for example, the Bayesian based or the simulation based SV
> estimations as described by Prof Eric Zivot in the following
> discussion?
>
> https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html

See Chapter 7 of the book "Bayesian Core" by Christian Robert and Jean-Michel Marin.

Regards,


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