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: |
0.9.3 |
| Depends: |
R (≥ 3.0.2), stochvol (≥ 2.0.4) |
| Imports: |
GIGrvg (≥ 0.4), Rcpp (≥ 1.0.0), corrplot, methods, grDevices, graphics, stats, utils |
| LinkingTo: |
Rcpp, RcppArmadillo (≥ 0.7.500.0.0), stochvol |
| Suggests: |
LSD (≥ 4.0-0), coda (≥ 0.19-2), knitr, RColorBrewer, testthat (≥ 2.1.0) |
| Published: |
2019-10-06 |
| Author: |
Gregor Kastner 
[aut, cre],
Darjus Hosszejni
[ctb] |
| Maintainer: |
Gregor Kastner <gregor.kastner at wu.ac.at> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| Citation: |
factorstochvol citation info |
| Materials: |
NEWS |
| In views: |
Finance, TimeSeries |
| CRAN checks: |
factorstochvol results |