Michael
2008-Feb-24 05:37 UTC
[R] where can I find source code for particle filters applied to stochastic volatilities?
Hi all, Could anybody point me to some overview/survey papers about using particle filters and sequential monte carlo methods to estimate stochastic volatilities? I couldn't find any such articles giving a big-picture view of the literature. How do these estimation methods compare to EMM and other Bayesian methods for estimating stochastic volatilities? Also, I am looking for some sample/source code that shows how to program particle filters and sequential monte carlo methods to estimate stochastic volatilities... Could anybody give me some pointers? Thanks a lot
Apparently Analagous Threads
- New package RcppSMC 0.1.0 for Sequential Monte Carlo and Particle Filters
- New package RcppSMC 0.1.0 for Sequential Monte Carlo and Particle Filters
- EMM: how to make forecast using EMM methods?
- where do I find stochastic volatilities models in R or Matlab?
- New package: pomp, inference for partially-observed Markov processes