factorstochvol
Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
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.
- Version1.1.0
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- factorstochvol citation info
- Last release11/24/2023
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Team
Gregor Kastner
Luis Gruber
Show author detailsRolesContributorDarjus Hosszejni
Show author detailsRolesContributor
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