[aut, cre]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: | 0.9 |
| Depends: | R (≥ 3.0.2) |
| Imports: | stochvol (≥ 2.0.0), GIGrvg (≥ 0.4), Rcpp (≥ 1.0.0), corrplot, methods, grDevices, graphics, stats, utils |
| LinkingTo: | Rcpp, RcppArmadillo (≥ 0.7.500.0.0), stochvol |
| Published: | 2019-02-01 |
| Author: | Gregor Kastner [aut, cre] |
| Maintainer: | Gregor Kastner <gregor.kastner at wu.ac.at> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Citation: | factorstochvol citation info |
| Materials: | NEWS |
| In views: | Finance, TimeSeries |
| CRAN checks: | factorstochvol results |
| Reference manual: | factorstochvol.pdf |
| Package source: | factorstochvol_0.9.tar.gz |
| Windows binaries: | r-devel: factorstochvol_0.9.zip, r-release: factorstochvol_0.9.zip, r-oldrel: factorstochvol_0.9.zip |
| OS X binaries: | r-release: factorstochvol_0.9.tgz, r-oldrel: factorstochvol_0.9.tgz |
| Old sources: | factorstochvol archive |
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