Package: stochvol 3.2.5

To cite stochvol in publications use:

Hosszejni D, Kastner G (2021). “Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol.” Journal of Statistical Software, 100(12), 1–34. doi:10.18637/jss.v100.i12.

The original version of stochvol is documented here:

Kastner G (2016). “Dealing with Stochastic Volatility in Time Series Using the R Package stochvol.” Journal of Statistical Software, 69(5), 1–30. doi:10.18637/jss.v069.i05.

To refer to the sampling methodology used by the sampler without asymmetry (leverage) please cite:

Kastner G, Frühwirth-Schnatter S (2014). “Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models.” Computational Statistics & Data Analysis, 76, 408–423. doi:10.1016/j.csda.2013.01.002.

To refer to the sampling methodology used by the sampler that allows for asymmetry (leverage) please cite:

Hosszejni D, Kastner G (2019). “Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage.” In Argiento R, Durante D, Wade S (eds.), Bayesian Statistics and New Generations. BAYSM 2018, volume 296 series Springer Proceedings in Mathematics \& Statistics, 75–83. doi:10.1007/978-3-030-30611-3_8.

Corresponding BibTeX entries:

  @Article{,
    title = {Modeling Univariate and Multivariate Stochastic Volatility
      in {R} with {stochvol} and {factorstochvol}},
    author = {Darjus Hosszejni and Gregor Kastner},
    journal = {Journal of Statistical Software},
    year = {2021},
    volume = {100},
    number = {12},
    pages = {1--34},
    doi = {10.18637/jss.v100.i12},
  }

  @Article{,
    title = {Dealing with Stochastic Volatility in Time Series Using
      the {R} Package {stochvol}},
    author = {Gregor Kastner},
    journal = {Journal of Statistical Software},
    year = {2016},
    volume = {69},
    number = {5},
    pages = {1--30},
    doi = {10.18637/jss.v069.i05},
  }

  @Article{,
    title = {Ancillarity-Sufficiency Interweaving Strategy ({ASIS}) for
      Boosting {MCMC} Estimation of Stochastic Volatility Models},
    author = {Gregor Kastner and Sylvia Fr\"{u}hwirth-Schnatter},
    journal = {Computational Statistics \& Data Analysis},
    year = {2014},
    volume = {76},
    pages = {408--423},
    doi = {10.1016/j.csda.2013.01.002},
  }

  @InProceedings{,
    title = {Approaches Toward the Bayesian Estimation of the
      Stochastic Volatility Model with Leverage},
    author = {Darjus Hosszejni and Gregor Kastner},
    booktitle = {Bayesian Statistics and New Generations. BAYSM 2018},
    year = {2019},
    series = {Springer Proceedings in Mathematics \& Statistics},
    volume = {296},
    pages = {75--83},
    editor = {Raffaele Argiento and Daniele Durante and Sara Wade},
    doi = {10.1007/978-3-030-30611-3_8},
    publisher = {Springer},
    address = {Cham},
  }