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. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix.

AuthorGregor Kastner [aut, cre]
Date of publication2016-12-31 17:21:54
MaintainerGregor Kastner <gregor.kastner@wu.ac.at>
LicenseGPL (>= 2)
Version0.8.3

View on CRAN

Man pages

comtimeplot: Plot comunalities over time.

corelement: Extract "true" model-implied correlations of two series only

corimageplot: Plot correlation matrices for certain points in time

corplot: Plots pairwise correlations over time

cortimeplot: Plot correlations over time.

covelement: Extract "true" model-implied covariances of two series only

covmat: Generic extraction of covariance matrix

covmat.fsvdraws: Extract posterior draws of the model-implied covariance...

covmat.fsvsim: Extract "true" model-implied covariance matrix for several...

expweightcov: Computes the empirical exponentially weighted covariance...

facloadcredplot: Displays bivariate marginal posterior distribution of factor...

facloaddensplot: Density plots of factor loadings draws

facloadpairplot: Displays bivariate marginal posterior distributions of factor...

facloadpointplot: Displays point estimates of the factor loadings posterior.

facloadtraceplot: Trace plots of factor loadings draws

factorstochvol-package: Bayesian Estimation of (Sparse) Latent Factor Stochastic...

findrestrict: Ad-hoc method for (weakly) identifying the factor loadings...

fsvsample: Markov Chain Monte Carlo (MCMC) Sampling for the Factor...

fsvsim: Simulate data from a factor SV model

ledermann: Ledermann bound for the number of factors

logret: Computes the log returns of a vector-valued time series

logvartimeplot: Plot log-variances over time.

orderident: A posteriori factor order identification

paratraceplot: Trace plots of parameter draws

plot.fsvdraws: Several factor SV plots

predcond: Predicts means and variances conditionally on the factors

predcor: Predicts correlation matrix

predcov: Predicts covariance matrix

predh: Predicts factor and idiosyncratic log-volatilities h

predloglik: Evaluates the predictive log likelihood using the predicted...

predloglikWB: Evaluates the predictive log likelihood using the Woodbury...

predprecWB: Predicts precision matrix and its determinant (Woodbury...

preorder: Ad-hoc methods for determining the order of variables

print.fsvdraws: Pretty printing of an fsvsdraws object

runningcormat: Extract summary statistics for the posterior correlation...

runningcovmat: Extract summary statistics for the posterior covariance...

signident: A posteriori sign identification

voltimeplot: Plot series-specific volatilities over time.

Files in this package

factorstochvol
factorstochvol/inst
factorstochvol/inst/CITATION
factorstochvol/src
factorstochvol/src/Makevars
factorstochvol/src/testrgig.cpp
factorstochvol/src/dmvnorm.h
factorstochvol/src/sampler.cpp
factorstochvol/src/predict.cpp
factorstochvol/src/progutils.cpp
factorstochvol/src/dmvnorm.cpp
factorstochvol/src/Makevars.win
factorstochvol/src/sampler.h
factorstochvol/src/predict.h
factorstochvol/src/progutils.h
factorstochvol/NAMESPACE
factorstochvol/NEWS
factorstochvol/R
factorstochvol/R/utilities_other.R factorstochvol/R/plotting.R factorstochvol/R/utilities_fsvdraws.R factorstochvol/R/factorstochvol-package.R factorstochvol/R/utilities_fsvsim.R factorstochvol/R/generics.R factorstochvol/R/wrappers.R factorstochvol/R/simulation.R factorstochvol/R/zzz.R factorstochvol/R/imports.R
factorstochvol/MD5
factorstochvol/DESCRIPTION
factorstochvol/man
factorstochvol/man/predprecWB.Rd factorstochvol/man/expweightcov.Rd factorstochvol/man/voltimeplot.Rd factorstochvol/man/paratraceplot.Rd factorstochvol/man/predcor.Rd factorstochvol/man/plot.fsvdraws.Rd factorstochvol/man/predcov.Rd factorstochvol/man/facloadpointplot.Rd factorstochvol/man/facloadcredplot.Rd factorstochvol/man/covmat.fsvdraws.Rd factorstochvol/man/predloglikWB.Rd factorstochvol/man/print.fsvdraws.Rd factorstochvol/man/comtimeplot.Rd factorstochvol/man/covmat.fsvsim.Rd factorstochvol/man/orderident.Rd factorstochvol/man/preorder.Rd factorstochvol/man/facloadpairplot.Rd factorstochvol/man/predh.Rd factorstochvol/man/signident.Rd factorstochvol/man/predcond.Rd factorstochvol/man/fsvsample.Rd factorstochvol/man/ledermann.Rd factorstochvol/man/fsvsim.Rd factorstochvol/man/covmat.Rd factorstochvol/man/logret.Rd factorstochvol/man/facloaddensplot.Rd factorstochvol/man/corplot.Rd factorstochvol/man/logvartimeplot.Rd factorstochvol/man/covelement.Rd factorstochvol/man/facloadtraceplot.Rd factorstochvol/man/cortimeplot.Rd factorstochvol/man/corelement.Rd factorstochvol/man/runningcovmat.Rd factorstochvol/man/factorstochvol-package.Rd factorstochvol/man/runningcormat.Rd factorstochvol/man/predloglik.Rd factorstochvol/man/corimageplot.Rd factorstochvol/man/findrestrict.Rd

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