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>.

Package details

AuthorGregor Kastner [aut, cre] (<https://orcid.org/0000-0002-8237-8271>), Darjus Hosszejni [ctb] (<https://orcid.org/0000-0002-3803-691X>)
MaintainerGregor Kastner <gregor.kastner@aau.at>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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factorstochvol documentation built on Feb. 10, 2021, 1:07 a.m.