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: Fri, 08 Feb 2008 07:46:56 -0600

Michael wrote:
> Okay I am ordering the book...
>
> Does anybody know any recent papers discussing about comparison about
> these SV estimation methods?

I don't have any paper references handy. I know that Prof. Zivot has some working papers on volatility modeling on his website at the university of washington. As I recall, at least one of them includes a literature survey.

> Moreover, where do I find those source
> codes in public domain?

The code for the book "Bayesian Core" is here:

http://www.ceremade.dauphine.fr/~xian/BCS/

The code for Albert's "Bayesian Computation with R" is in the LearnBayes package on CRAN. Bayesian Core has a more in-depth discussion of Bayesian models for SV.

Both books are well worth owning as references, even though the code is available.

Regards,

> On Feb 7, 2008 3:13 AM, Brian G. Peterson <brian@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.

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