factorstochvol (0.8.3)

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Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models.


Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix.

Maintainer: Gregor Kastner
Author(s): Gregor Kastner [aut, cre]

License: GPL (>= 2)

Uses: corrplot, GIGrvg, Rcpp, stochvol

Released 10 months ago.

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