factorstochvol

MaRDI QIDQ43157swMATHCRANFDO

Authors Gregor Kastner

Last update 24 November 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 1.0.1, 0.8.1, 0.8.2, 0.8.3, 0.9.2, 0.9.3, 0.9, 0.10.0, 0.10.1, 0.10.2, 1.0.0, 1.0.2, 1.0.6, 1.1.0

Official website https://cran.r-project.org/web/packages/factorstochvol/index.html

Source code repository https://github.com/cran/factorstochvol

Description

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>.

Cites work

• Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
• Sparse Bayesian time-varying covariance estimation in many dimensions

Cited in

(9)

• bayesianVARs
• stochvolTMB
• Sparse Bayesian time-varying covariance estimation in many dimensions
• FKF
• Dynamic Copula Toolbox
• GIGrvg
• Biips
• stochvol
• rSGDLM

This page was built for software: factorstochvol