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

From: Michael <comtech.usa_at_gmail.com>
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?

Thanks,

-M

On Feb 7, 2008 3:13 AM, Brian G. Peterson <brian_at_braverock.com> 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?
> >
> > 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,
>
> - Brian
>



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