Installation
About
Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) doi:10.18637/jss.v070.i05).
| github.com/JensWahl/stochvolTMB | |
| Bug report | File report |
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