factorstochvol (0.9)

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

http://cran.r-project.org/web/packages/factorstochvol

Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving . 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] (<https://orcid.org/0000-0002-8237-8271>)

License: GPL (>= 2)

Uses: corrplot, GIGrvg, Rcpp, stochvol

Released 3 months ago.


3 previous versions

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