factorstochvol
Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
v1.1.1
·
Mar 2, 2026
·
GPL (>= 2)
Description
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>.
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NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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r-oldrel-macos-arm64
installed package size
installed size is 7.9Mb
sub-directories of 1Mb or more:
doc 2.5Mb
libs 5.0Mb
NOTE
r-oldrel-macos-x86_64
installed package size
installed size is 8.0Mb
sub-directories of 1Mb or more:
doc 2.5Mb
libs 5.1Mb
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1.1.1
Mar 9, 2026