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; zoo; stochvolTMB; devtools; shrinkTVP; LSD; RColorBrewer; Rugarch; CODA; Armadillo; RcppArmadillo; Rcpp; Stan; mcmcse; FKF; CppAD; TMB; KFAS; dse
Cited in: 1 Publication

Standard Articles

1 Publication describing the Software Year

Cited by 1 Author

1 Kastner, Gregor

Cited in 1 Serial

1 Journal of Econometrics

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