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}, }