SV.RPF—State-space approximation to stochastic volatility

Use this forum for posting example programs or short bits of sample code.
Post Reply
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

SV.RPF—State-space approximation to stochastic volatility

Unread post by TomDoan »

SV.RPF is an example of using a state-space approximation to estimate a (univariate) stochastic volatility model. Harvey, Ruiz and Shepherd is an example of the same idea applied to a multivariate setting.

Detailed description


Last bumped by TomDoan on Fri Dec 20, 2024 8:37 am.
Top
Post Reply

Return to “Examples and Sample Code”