inst/CITATION
Hosszejni D, Kastner G (2021). “Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol.” Journal of Statistical Software, 100(12), 1–34. doi:10.18637/jss.v100.i12.
@Article{,
title = {Modeling Univariate and Multivariate Stochastic Volatility in {R} with {stochvol} and {factorstochvol}},
author = {Darjus Hosszejni and Gregor Kastner},
journal = {Journal of Statistical Software},
year = {2021},
volume = {100},
number = {12},
pages = {1--34},
doi = {10.18637/jss.v100.i12},
}
Kastner G (2016). “Dealing with Stochastic Volatility in Time Series Using the R Package stochvol.” Journal of Statistical Software, 69(5), 1–30. doi:10.18637/jss.v069.i05.
@Article{,
title = {Dealing with Stochastic Volatility in Time Series Using the {R} Package {stochvol}},
author = {Gregor Kastner},
journal = {Journal of Statistical Software},
year = {2016},
volume = {69},
number = {5},
pages = {1--30},
doi = {10.18637/jss.v069.i05},
}
Kastner G, Frühwirth-Schnatter S (2014). “Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models.” Computational Statistics & Data Analysis, 76, 408–423. doi:10.1016/j.csda.2013.01.002.
@Article{,
title = {Ancillarity-Sufficiency Interweaving Strategy ({ASIS}) for Boosting {MCMC} Estimation of Stochastic Volatility Models},
author = {Gregor Kastner and Sylvia Fr\"{u}hwirth-Schnatter},
journal = {Computational Statistics \& Data Analysis},
year = {2014},
volume = {76},
pages = {408--423},
doi = {10.1016/j.csda.2013.01.002},
}
Hosszejni D, Kastner G (2019). “Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage.” In Argiento R, Durante D, Wade S (eds.), Bayesian Statistics and New Generations. BAYSM 2018, volume 296 series Springer Proceedings in Mathematics \& Statistics, 75–83. doi:10.1007/978-3-030-30611-3_8.
@InProceedings{,
title = {Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage},
author = {Darjus Hosszejni and Gregor Kastner},
booktitle = {Bayesian Statistics and New Generations. BAYSM 2018},
year = {2019},
series = {Springer Proceedings in Mathematics \& Statistics},
volume = {296},
pages = {75--83},
editor = {Raffaele Argiento and Daniele Durante and Sara Wade},
doi = {10.1007/978-3-030-30611-3_8},
publisher = {Springer},
address = {Cham},
}