To cite factorstochvol in publications use:

Hosszejni D, Kastner G (2019). “Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol.” R package vignette. https://CRAN.R-project.org/package=factorstochvol/vignettes/paper.pdf.

To cite the current version of the package you could use:

Kastner G (2019). factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models. R package version 0.9.3, https://cran.r-project.org/package=factorstochvol.

To refer to the interweaving (ASIS) methodology used in factorstochvol please cite:

Kastner G, Frühwirth-Schnatter S, Lopes HF (2017). “Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models.” Journal of Computational and Graphical Statistics, 26(4), 905–917. doi: 10.1080/10618600.2017.1322091.

To refer to the shrinkage methodology used in factorstochvol (NG priors) please cite:

Kastner G (2019). “Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions.” Journal of Econometrics, 210(1), 98–115. doi: 10.1016/j.jeconom.2018.11.007.

BibTeX entries of the above can be obtained by ‘toBibtex(citation("factorstochvol"))’

Corresponding BibTeX entries:

  @Article{,
    title = {Modeling Univariate and Multivariate Stochastic Volatility
      in {R} with {stochvol} and {factorstochvol}},
    author = {Darjus Hosszejni and Gregor Kastner},
    journal = {R package vignette},
    year = {2019},
    url =
      {https://CRAN.R-project.org/package=factorstochvol/vignettes/paper.pdf},
  }

  @Manual{,
    title = {{factorstochvol}: {B}ayesian Estimation of (Sparse) Latent
      Factor Stochastic Volatility Models},
    author = {Gregor Kastner},
    year = {2019},
    note = {R package version 0.9.3},
    url = {https://cran.r-project.org/package=factorstochvol},
  }

  @Article{,
    title = {Efficient {B}ayesian Inference for Multivariate Factor
      Stochastic Volatility Models},
    author = {Gregor Kastner and Sylvia Fr\"{u}hwirth-Schnatter and
      Hedibert Freitas Lopes},
    journal = {Journal of Computational and Graphical Statistics},
    year = {2017},
    volume = {26},
    number = {4},
    pages = {905--917},
    doi = {10.1080/10618600.2017.1322091},
  }

  @Article{,
    title = {Sparse {B}ayesian Time-Varying Covariance Estimation in
      Many Dimensions},
    author = {Gregor Kastner},
    journal = {Journal of Econometrics},
    year = {2019},
    volume = {210},
    number = {1},
    pages = {98--115},
    doi = {10.1016/j.jeconom.2018.11.007},
  }