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 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
