ASV: Stochastic Volatility Models with or without Leverage

The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.

Version: 1.1.4
Imports: Rcpp (≥ 1.0.7), freqdom, stats, graphics
LinkingTo: Rcpp, RcppArmadillo, RcppProgress
Published: 2024-02-15
DOI: 10.32614/CRAN.package.ASV
Author: Yasuhiro Omori [aut, cre], Ryuji Hashimoto [ctr]
Maintainer: Yasuhiro Omori <omori.yasuhiro at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
CRAN checks: ASV results


Reference manual: ASV.pdf


Package source: ASV_1.1.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): ASV_1.1.4.tgz, r-oldrel (arm64): ASV_1.1.4.tgz, r-release (x86_64): ASV_1.1.4.tgz, r-oldrel (x86_64): ASV_1.1.4.tgz
Old sources: ASV archive


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