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 <[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. ______________________________________________ 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.
