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; 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 Cited in 2 Fields 1 Statistics (62-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) Citations by Year