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},
  }