factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
Version 0.8.3

Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix.

Package details

AuthorGregor Kastner [aut, cre]
Date of publication2016-12-31 17:21:54
MaintainerGregor Kastner <gregor.kastner@wu.ac.at>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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factorstochvol documentation built on May 29, 2017, 10:50 a.m.