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

From: Michael <>
Date: Thu, 7 Feb 2008 23:49:07 -0800

Okay I am ordering the book...

Does anybody know any recent papers discussing about comparison about these SV estimation methods? Moreover, where do I find those source codes in public domain?



On Feb 7, 2008 3:13 AM, Brian G. Peterson <> wrote:
> 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,
> - Brian
> mailing list PLEASE do read the posting guide and provide commented, minimal, self-contained, reproducible code. Received on Fri 08 Feb 2008 - 07:54:12 GMT

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