Jouchi Nakajima
Stochastic Volatility (SV) models
References:
Kim, S, N. Shephard, and S. Chib (1998) "Stochastic volatility: likelihood inference and comparison with ARCH models" Review of Economic Studies, 65, 361-393.
Omori, Y., S. Chib, N. Shephard, and J. Nakajima (2007) "Stochastic volatility with leverage: Fast and efficient likelihood inference" Journal of Econometrics, 140, 425-449.
SVPACK: MCMC estimation (mixture sampler) for SV model without leverage
svpack.zip - for Ox
ASVPACK: MCMC estimation (mixture sampler) for (Asymmetric) SV model with leverage
asvpack.zip - for Ox