Encoding: UTF-8
Package: factorstochvol
Type: Package
Title: Bayesian Estimation of (Sparse) Latent Factor Stochastic
        Volatility Models
Version: 0.9.3
Authors@R: c(
	person("Gregor", "Kastner", role = c("aut", "cre"), email = "gregor.kastner@wu.ac.at", comment = c(ORCID = "0000-0002-8237-8271")),
	person("Darjus", "Hosszejni", role = c("ctb"), email = "darjus.hosszejni@wu.ac.at", comment = c(ORCID = "0000-0002-3803-691X")))
Description: 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>.
License: GPL (>= 2)
Depends: R (>= 3.0.2), stochvol (>= 2.0.4)
Imports: GIGrvg (>= 0.4), Rcpp (>= 1.0.0), corrplot, methods,
        grDevices, graphics, stats, utils
Suggests: LSD (>= 4.0-0), coda (>= 0.19-2), knitr, RColorBrewer,
        testthat (>= 2.1.0)
LinkingTo: Rcpp, RcppArmadillo (>= 0.7.500.0.0), stochvol
RoxygenNote: 6.1.1
NeedsCompilation: yes
Packaged: 2019-10-06 13:15:42 UTC; dejot
Author: Gregor Kastner [aut, cre] (<https://orcid.org/0000-0002-8237-8271>),
  Darjus Hosszejni [ctb] (<https://orcid.org/0000-0002-3803-691X>)
Maintainer: Gregor Kastner <gregor.kastner@wu.ac.at>
Repository: CRAN
Date/Publication: 2019-10-06 14:10:02 UTC
Built: R 4.1.0; x86_64-w64-mingw32; 2020-08-03 07:13:47 UTC; windows
Archs: i386, x64
