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. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix.

Version: 0.8.3
Depends: R (≥ 3.0.2)
Imports: stochvol (≥ 1.3.2), GIGrvg (≥ 0.4), Rcpp (≥ 0.12.7), corrplot, methods, grDevices, graphics, stats, utils
LinkingTo: Rcpp, RcppArmadillo (≥ 0.7.500.0.0), stochvol
Published: 2016-12-31
Author: Gregor Kastner [aut, cre]
Maintainer: Gregor Kastner <gregor.kastner at wu.ac.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
Package source: factorstochvol_0.8.3.tar.gz
Windows binaries: r-devel: factorstochvol_0.8.3.zip, r-release: factorstochvol_0.8.3.zip, r-oldrel: factorstochvol_0.8.3.zip
OS X El Capitan binaries: r-release: factorstochvol_0.8.3.tgz
OS X Mavericks binaries: r-oldrel: factorstochvol_0.8.3.tgz
Old sources: factorstochvol archive


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