R help - Feb 2008 - where do I find stochastic volatilities models in R or Matlab?

Hi all,

Does anybody have the source code of stochastic volatility models in R
or Matlab, for example, the Bayesian based or the simulation based SV
estimations as described by Prof Eric Zivot in the following
discussion?

https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html

--------------

I am wondering what is the current status of estimating stochastic vol
models and what's the latest development -- which technique is
currently the best method, Bayesian methods or the simualation based
methods, or others?

Thanks a lot!

Michael wrote:
> Does anybody have the source code of stochastic volatility models in R
> or Matlab, for example, the Bayesian based or the simulation based SV
> estimations as described by Prof Eric Zivot in the following
> discussion?
> 
> https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html
See Chapter 7 of the book "Bayesian Core" by Christian Robert and 
Jean-Michel Marin.

Regards,

   - Brian

Okay I am ordering the book...

Does anybody know any recent papers discussing about comparison about
these SV estimation methods? Moreover, where do I find those source
codes in public domain?

Thanks,

-M

On Feb 7, 2008 3:13 AM, Brian G. Peterson <brian at braverock.com>
wrote:
> Michael wrote:
> > Does anybody have the source code of stochastic volatility models in R
> > or Matlab, for example, the Bayesian based or the simulation based SV
> > estimations as described by Prof Eric Zivot in the following
> > discussion?
> >
> > https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html
>
> See Chapter 7 of the book "Bayesian Core" by Christian Robert and
> Jean-Michel Marin.
>
> Regards,
>
>    - Brian
>