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

Brian G. Peterson brian at braverock.com
Thu Feb 7 12:13:53 CET 2008


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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