• bvarsv

  • Referenced in 110 articles [sw11023]
  • Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters. R/C++ implementation of the model...
  • stochvol

  • Referenced in 25 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 9 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...
  • factorstochvol

  • Referenced in 3 articles [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...
  • 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...
  • tsBSS

  • Referenced in 3 articles [sw38404]
  • problem for multivariate time series with stochastic volatility (Matilainen, Nordhausen...
  • Algorithm 963

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

  • Referenced in 1 article [sw40909]
  • package stochvolTMB: Likelihood Estimation of Stochastic Volatility Models. Parameter estimation for stochastic volatility models using...
  • mfbvar

  • Referenced in 1 article [sw40879]
  • well as steady-state priors. Stochastic volatility can be handled by common or factor stochastic...
  • 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...
  • QuantGAN

  • Referenced in 5 articles [sw42448]
  • Time Series. Modeling financial time series by stochastic processes is a challenging task ... volatility clusters. The generator function is explicitly constructed such that the induced stochastic process allows ... excellent agreement and dependence properties such as volatility clusters, leverage effects, and serial autocorrelations...
  • 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 200 articles [sw00086]
  • BoomerAMG: A parallel algebraic multigrid solver and preconditioner...
  • GAUSS

  • Referenced in 120 articles [sw00322]
  • The GAUSS Mathematical and Statistical System is a...
  • Hopscotch

  • Referenced in 45 articles [sw00413]
  • Hopscotch: a fast second order partial differential equations...
  • LAPACK

  • Referenced in 1713 articles [sw00503]
  • LAPACK is written in Fortran 90 and provides...
  • Maple

  • Referenced in 5403 articles [sw00545]
  • The result of over 30 years of cutting...