The code is originally available in the following website:
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I wish to use this code for academic research.
In few words, the code receives as input the time series of stock or index returns (for example, S&P 500) and performs an MCMC (Markov Chain Monte Carlo) algorithm to estimate the parameters and latent states of the SVCJ model (Stochastic Volatility with Correlated Jumps in Returns and Volatility)
I have no experience with the [C++] language, so I need and experient programmer to execute the conversion to [Matlab]. Having any experience with this class of algorithm is a plus.
The sizes of the files included are:
bayes.h - 144 lines
[login to view URL] - 529 lines
proposal.h - 75 lines
[login to view URL] - 97 lines
I have added three articles which should be very helpful in understanding some parts of the code
The acceptance criteria for this project is as follows:
The full code in matlab and a collection of example inputs. The code should run without any kind of errors for the selected inputs and generate the expected outputs.
14 freelanceria on tarjonnut keskimäärin $154 tähän työhön
Good day, I am an expert Convert code from [C++] to [Matlab] for academic research I can start working immediately if you give me a go !!! Thank you