stochvolTMB: Likelihood Estimation of Stochastic Volatility Models
Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is
integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model
Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) <doi:10.18637/jss.v070.i05>).
Version: |
0.2.0 |
Depends: |
R (≥ 3.5.0) |
Imports: |
TMB, ggplot2, sn, stats, data.table, MASS |
LinkingTo: |
RcppEigen, TMB |
Suggests: |
testthat (≥ 2.1.0), shiny, knitr, rmarkdown, stochvol |
Published: |
2021-08-13 |
DOI: |
10.32614/CRAN.package.stochvolTMB |
Author: |
Jens Christian Wahl |
Maintainer: |
Jens Christian Wahl <jens.c.wahl at gmail.com> |
BugReports: |
https://github.com/JensWahl/stochvolTMB/issues |
License: |
GPL-3 |
URL: |
https://github.com/JensWahl/stochvolTMB |
NeedsCompilation: |
yes |
Materials: |
README NEWS |
CRAN checks: |
stochvolTMB results [issues need fixing before 2024-10-21] |
Documentation:
Downloads:
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