英文标题：
《Modeling Univariate and Multivariate Stochastic Volatility in R with
  stochvol and factorstochvol》
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作者：
Darjus Hosszejni and Gregor Kastner
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最新提交年份：
2021
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英文摘要：
  Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent quantities, their efficient estimation is non-trivial and software that allows to easily fit SV models to data is rare. We aim to alleviate this issue by presenting novel implementations of four SV models delivered in two R packages. Several unique features are included and documented. As opposed to previous versions, stochvol is now capable of handling linear mean models, heavy-tailed SV, and SV with leverage. Moreover, we newly introduce factorstochvol which caters for multivariate SV. Both packages offer a user-friendly interface through the conventional R generics and a range of tailor-made methods. Computational efficiency is achieved via interfacing R to C++ and doing the heavy work in the latter. In the paper at hand, we provide a detailed discussion on Bayesian SV estimation and showcase the use of the new software through various examples.
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中文摘要：
随机波动率（SV）模型是一种非线性状态空间模型，在拟合和预测异方差时间序列方面越来越受欢迎。然而，由于潜在量的数量很大，它们的有效估计是非常重要的，并且允许将SV模型轻松拟合到数据的软件很少。我们旨在通过在两个R包中提供四个SV模型的新实现来缓解这个问题。包括并记录了几个独特的功能。与之前的版本不同，stochvol现在能够处理线性平均模型、重尾SV和杠杆SV。此外，我们新引入了适应多元SV的因子Tochvol。这两个包都通过传统的R泛型和一系列定制方法提供了用户友好的界面。通过将R与C++接口并在后者中完成繁重的工作，可以实现计算效率。在本文中，我们详细讨论了贝叶斯SV估计，并通过各种示例展示了新软件的使用。
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分类信息：

一级分类：Statistics        统计学
二级分类：Computation        计算
分类描述：Algorithms, Simulation, Visualization
算法、模拟、可视化
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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