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factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving <doi:10.1080/10618600.2017.1322091>. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix <doi:10.1016/j.jeconom.2018.11.007>.
Getting started
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Package details |
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| Author | Gregor Kastner [aut, cre] (<https://orcid.org/0000-0002-8237-8271>), Darjus Hosszejni [ctb] (<https://orcid.org/0000-0002-3803-691X>), Luis Gruber [ctb] (<https://orcid.org/0000-0002-2399-738X>) |
| Maintainer | Gregor Kastner <gregor.kastner@aau.at> |
| License | GPL (>= 2) |
| Version | 1.1.0 |
| Package repository | View on CRAN |
| Installation |
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