Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol.

Darjus Hosszejni Gregor Kastner

Published in: J. Stat. Softw. (2021)

Keyphrases

stochastic models
multivariate time series
point processes
regression model
database
artificial intelligence
monte carlo
short term
modeling method
stochastic optimization
stochastic programming
garch model
stochastic nature