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 results |