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>.

Version: 1.1.0
Depends: R (≥ 3.0.2)
Imports: GIGrvg (≥ 0.4), Rcpp (≥ 1.0.0), corrplot, methods, grDevices, graphics, stats, utils, stochvol (≥ 3.0.2)
LinkingTo: Rcpp, RcppArmadillo (≥ 0.9.900), stochvol
Suggests: LSD (≥ 4.0-0), coda (≥ 0.19-2), knitr, RColorBrewer, testthat (≥ 2.1.0), zoo
Published: 2023-11-24
DOI: 10.32614/CRAN.package.factorstochvol
Author: Gregor Kastner ORCID iD [aut, cre], Darjus Hosszejni ORCID iD [ctb], Luis Gruber ORCID iD [ctb]
Maintainer: Gregor Kastner <gregor.kastner at aau.at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: factorstochvol citation info
Materials: NEWS
In views: Bayesian, Finance, TimeSeries
CRAN checks: factorstochvol results

Documentation:

Reference manual: factorstochvol.pdf
Vignettes: Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol

Downloads:

Package source: factorstochvol_1.1.0.tar.gz
Windows binaries: r-devel: factorstochvol_1.1.0.zip, r-release: factorstochvol_1.1.0.zip, r-oldrel: factorstochvol_1.1.0.zip
macOS binaries: r-devel (arm64): factorstochvol_1.1.0.tgz, r-release (arm64): factorstochvol_1.1.0.tgz, r-oldrel (arm64): factorstochvol_1.1.0.tgz, r-devel (x86_64): factorstochvol_1.1.0.tgz, r-release (x86_64): factorstochvol_1.1.0.tgz, r-oldrel (x86_64): factorstochvol_1.1.0.tgz
Old sources: factorstochvol archive

Reverse dependencies:

Reverse imports: bayesianVARs
Reverse linking to: bayesianVARs

Linking:

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