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factorstochvol

swMATH ID: 31446
Software Authors: Gregor Kastner, Darjus Hosszejni
Description: R package 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>.
Homepage: https://cran.r-project.org/web/packages/factorstochvol/index.html
Source Code:  https://github.com/cran/factorstochvol
Dependencies: R
Keywords: R; R package; Journal of Statistical Software; Bayesian inference; state-space model; heteroskedasticity; dynamic correlation; dynamic covariance; factor stochastic volatility; Markov chain Monte Carlo; MCMC; leverage effect; asymmetric return distribution; heavy tails; financial time series
Related Software: R; stochvol; nimble; Dynamic Copula Toolbox; FinTS; covreg; zoo; stochvolTMB; devtools; shrinkTVP; LSD; RColorBrewer; Rugarch; CODA; Armadillo; RcppArmadillo; Rcpp; Stan; mcmcse; FKF
Cited in: 4 Documents

Standard Articles

1 Publication describing the Software Year
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol Link
Hosszejni, D.; Kastner, G
2021

Citations by Year