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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 |
DOI: | 10.32614/CRAN.package.factorstochvol |
Author: | Gregor Kastner |
Maintainer: | Gregor Kastner <gregor.kastner at aau.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 |
Vignettes: |
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol |
Package source: | factorstochvol_1.1.0.tar.gz |
Windows binaries: | r-devel: factorstochvol_1.1.0.zip, r-release: factorstochvol_1.1.0.zip, r-oldrel: factorstochvol_1.1.0.zip |
macOS binaries: | r-release (arm64): factorstochvol_1.1.0.tgz, r-oldrel (arm64): factorstochvol_1.1.0.tgz, r-release (x86_64): factorstochvol_1.1.0.tgz, r-oldrel (x86_64): factorstochvol_1.1.0.tgz |
Old sources: | factorstochvol archive |
Reverse imports: | bayesianVARs |
Reverse linking to: | bayesianVARs |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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