stochvol is an R package providing MCMC-based Bayesian inference for stochastic volatility models, with examples on exchange rate data.
Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices 1691--79
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Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
stochvol is an R package providing MCMC-based Bayesian inference for stochastic volatility models, with examples on exchange rate data.