• bvarsv

  • Referenced in 86 articles [sw11023]
  • Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters. R/C++ implementation of the model...
  • stochvol

  • Referenced in 16 articles [sw19383]
  • package stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models. Efficient algorithms for fully Bayesian ... estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods...
  • NDSolve

  • Referenced in 5 articles [sw18630]
  • Option valuation under stochastic volatility II. With Mathematica code. The monograph continues previous work ... author in [Option valuation under stochastic volatility. With Mathematica code. Newport Beach, CA: Finance Press ... treated derivatives of securities with stochastic volatility particularly two dimensional diffusions. Volume II investigates several...
  • 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...
  • Algorithm 963

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

  • Referenced in 1 article [sw28273]
  • negative binomial observation densities and basic stochastic volatility models with Gaussian state dynamics, as well...
  • 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...
  • Bclim

  • Referenced in 0 articles [sw15408]
  • palaeoclimate with time uncertainty and stochastic volatility. Journal of the Royal Statistical Society: Series...
  • 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...
  • BoomerAMG

  • Referenced in 165 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 1642 articles [sw00503]
  • LAPACK is written in Fortran 90 and provides...
  • Maple

  • Referenced in 5124 articles [sw00545]
  • The result of over 30 years of cutting...
  • Mathematica

  • Referenced in 5957 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 12309 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • Octave

  • Referenced in 288 articles [sw00646]
  • GNU Octave is a high-level language, primarily...
  • R

  • Referenced in 8601 articles [sw00771]
  • R is a language and environment for statistical...