Bayesian inference with stochastic volatility models Matlab Code:
The following package and source code is Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes (with M. F. J. Steel), Computational Statistics and Data Analysis, 54, 2594-2608.
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Bayesian inference with stochastic volatility models Matlab Code: ContOUCode.zip