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

Kastner, G. (2016). factorstochvol: Bayesian estimation of (sparse) latent factor stochastic volatility models. R package version 0.8.3. URL: https://cran.r-project.org/package=factorstochvol

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

Kastner, G., S. Frühwirth-Schnatter, H. F. Lopes (2016). Efficient Bayesian inference for multivariate factor stochastic volatility models. URL: http://arxiv.org/abs/1602.08154.

To refer to the shrinkage methodology used in factorstochvol please cite:

Kastner, G. (2016). Sparse Bayesian time-varying covariance estimation in many dimensions. URL: http://arxiv.org/abs/1608.08468.

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

Corresponding BibTeX entries:

@Manual{, title = {{factorstochvol}: {B}ayesian estimation of (sparse) latent factor stochastic volatility models}, author = {Gregor Kastner}, year = {2016}, note = {R package version 0.8.3}, 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 = {ArXiv e-prints}, year = {2016}, url = {http://arxiv.org/abs/1602.08154}, eprinttype = {arXiv}, eprintclass = {stat.CO}, eprint = {1602.08154}, }

@Article{, title = {Sparse {B}ayesian time-varying covariance estimation in many dimensions}, author = {Gregor Kastner}, journal = {ArXiv e-prints}, year = {2016}, url = {http://arxiv.org/abs/1608.08468}, eprinttype = {arXiv}, eprintclass = {stat.ME}, eprint = {1608.08468}, }