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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 NormalGamma priors on the factor loading matrix <doi:10.1016/j.jeconom.2018.11.007>.
Package details 


Author  Gregor Kastner [aut, cre] (<https://orcid.org/0000000282378271>), Darjus Hosszejni [ctb] (<https://orcid.org/000000023803691X>) 
Maintainer  Gregor Kastner <[email protected]> 
License  GPL (>= 2) 
Version  0.9.2 
Package repository  View on CRAN 
Installation 
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