factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models (original) (raw)

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:

1.1.0

Depends:

R (≥ 3.0.2)

Imports:

GIGrvg (≥ 0.4), Rcpp (≥ 1.0.0), corrplot, methods, grDevices, graphics, stats, utils, stochvol (≥ 3.0.2)

LinkingTo:

Rcpp, RcppArmadillo (≥ 0.9.900), stochvol

Suggests:

LSD (≥ 4.0-0), coda (≥ 0.19-2), knitr, RColorBrewer, testthat (≥ 2.1.0), zoo

Published:

2023-11-24