A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
Stochastic volatility with leverage: Fast and efficient likelihood inference , year =
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stochvol is an R package providing MCMC-based Bayesian inference for stochastic volatility models, with examples on exchange rate data.
citing papers explorer
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Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting
A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
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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.