Okay I am ordering the book... Does anybody know any recent papers discussing about comparison about these SV estimation methods? Moreover, where do I find those source codes in public domain?
Thanks, -M On Feb 7, 2008 3:13 AM, Brian G. Peterson <[EMAIL PROTECTED]> 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. > > 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.
