factorstochvol

cranv1.1.2

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

License GPL (>= 2)0 versions1 maintainers9 deps217 weekly dl
https://CRAN.R-project.org/package=factorstochvol
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GIGrvgRcppcorrplotmethodsgrDevicesgraphicsstatsutilsstochvol
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First published · 2026-03-30 11:39:31

Last updated · 2026-03-30T09:00:02+00:00