• bvarsv

  • Referenced in 90 articles [sw11023]
  • Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters. R/C++ implementation...
  • stochvol

  • Referenced in 17 articles [sw19383]
  • stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models. Efficient algorithms for fully Bayesian estimation ... stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods...
  • EmmPack

  • Referenced in 2 articles [sw09500]
  • with ox for estimation of univariate stochastic volatility models with the efficient method of moments ... method of moments implemented to estimate stochastic volatility models, this will surely be the case ... broad range of univariate stochastic volatility models. As a side effect of the efficient method ... moments for this specific case of stochastic volatility models, and it describes the program. Some...
  • factorstochvol

  • Referenced in 1 article [sw31446]
  • Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models. Markov chain Monte Carlo (MCMC) sampler ... fully Bayesian estimation of latent factor stochastic volatility models with interweaving . Sparsity...
  • Algorithm 963

  • Referenced in 2 articles [sw23698]
  • model and the Principal Components Stochastic Volatility (PCSV) model. This illustrates the power of CGMM...
  • pmhtutorial

  • Referenced in 1 article [sw37184]
  • state space model and a simple stochastic volatility model using particle filtering. Parameter inference...
  • varstan

  • Referenced in 1 article [sw32993]
  • series modeles such as: sarima,garch, stochastic Volatility models (SVM), Hiden Markov models(HMM), Dynamic...
  • bssm

  • Referenced in 1 article [sw28273]
  • methods for Bayesian inference of state space models via particle Markov chain Monte Carlo ... negative binomial observation densities and basic stochastic volatility models with Gaussian state dynamics, as well...
  • NDSolve

  • Referenced in 5 articles [sw18630]
  • securities with stochastic volatility particularly two dimensional diffusions. Volume II investigates several models for various...
  • POWDer

  • Referenced in 1 article [sw27098]
  • multi-stage stochastic optimization model of a pastoral dairy farm. Pastoral dairy farmers make sequential ... long-term environmental uncertainty and price volatility. Decisions made early in the season, such ... dynamics. POWDer is a novel multi-stage stochastic program that divides the dairy farming season...
  • Bclim

  • Referenced in 0 articles [sw15408]
  • linear non-Gaussian state-space model. For more details see the paper Parnell ... palaeoclimate with time uncertainty and stochastic volatility. Journal of the Royal Statistical Society: Series...
  • BoomerAMG

  • Referenced in 170 articles [sw00086]
  • BoomerAMG: A parallel algebraic multigrid solver and preconditioner...
  • GAUSS

  • Referenced in 119 articles [sw00322]
  • The GAUSS Mathematical and Statistical System is a...
  • Hopscotch

  • Referenced in 43 articles [sw00413]
  • Hopscotch: a fast second order partial differential equations...
  • LAPACK

  • Referenced in 1649 articles [sw00503]
  • LAPACK is written in Fortran 90 and provides...
  • Maple

  • Referenced in 5199 articles [sw00545]
  • The result of over 30 years of cutting...
  • Mathematica

  • Referenced in 6090 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 12640 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • NAG

  • Referenced in 419 articles [sw00610]
  • Produced by experts for use in a variety...
  • Octave

  • Referenced in 295 articles [sw00646]
  • GNU Octave is a high-level language, primarily...