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

From: Brian G. Peterson <>
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?

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

Regards, mailing list PLEASE do read the posting guide and provide commented, minimal, self-contained, reproducible code. Received on Thu 07 Feb 2008 - 11:54:02 GMT

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