[R] [R-SIG-Finance] where do I find stochastic volatilities models in R or Matlab?
Brian G. Peterson
brian at braverock.com
Fri Feb 8 14:46:56 CET 2008
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.
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