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>.
Version: 1.1.0 Depends: R (≥ 3.0.2) Imports: GIGrvg (≥ 0.4), Rcpp (≥ 1.0.0), corrplot, methods, grDevices, graphics, stats, utils, stochvol (≥ 3.0.2) LinkingTo: Rcpp, RcppArmadillo (≥ 0.9.900), stochvol Suggests: LSD (≥ 4.0-0), coda (≥ 0.19-2), knitr, RColorBrewer, testthat (≥ 2.1.0), zoo Published: 2023-11-24 DOI: 10.32614/CRAN.package.factorstochvol Author: Gregor Kastner [aut, cre], Darjus Hosszejni [ctb], Luis Gruber [ctb] Maintainer: Gregor Kastner <gregor.kastner at aau.at> License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] NeedsCompilation: yes Citation: factorstochvol citation info Materials: NEWS In views: Bayesian, Finance, TimeSeries CRAN checks: factorstochvol resultsRetroSearch is an open source project built by @garambo | Open a GitHub Issue
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