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 <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the factorstochvol package in your browser

Any scripts or data that you put into this service are public.

factorstochvol documentation built on May 29, 2017, 10:50 a.m.