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

[Brian G. Peterson]

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,

   - Brian

> 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.