Quasi-likelihood and indirect inference in non-Gaussian stochastic volatility models for univariate and multivariate financial data. For univariate data both quasi-likelihood estimation and indirect inference are implemented, while for the bivariate data a quasi-likelihood method is implemented.
| Version: | 1.3.5 |
| Depends: | R (≥ 2.4.0), setRNG |
| Published: | 2011-04-10 |
| Author: | Øivind Skare |
| Maintainer: | Øivind Skare <oivind.skare at medisin.uio.no> |
| License: | GPL (≥ 2) |
| URL: | http://folk.uio.no/skare/SV, http://arma.sourceforge.net/ |
| SystemRequirements: | Armadillo (>= 0.9.0) |
| In views: | Finance |
| CRAN checks: | SV results |
| Package source: | SV_1.3.5.tar.gz |
| MacOS X binary: | not available, see check log. |
| Windows binary: | not available, see ReadMe. |
| Reference manual: | SV.pdf |
| Old sources: | SV archive |