Kastner, Gregor, Hosszejni, Darjus. 2021. factorstochvol.
BibTeX
Abstract
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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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Software |
| Title | factorstochvol |
| Date | Feb. 9, 2021 |
| Version | 0.10.2 |
| Licence | GPL2 or higher |
| Operating system | Linux, Windows, MacOS |
| Language | English |
| Programming language | R, C++ |
Associations
- People
- Kastner, Gregor (Details)
- Hosszejni, Darjus (Details)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1105 Computer software (Details)
- 1162 Statistics (Details)
- 5323 Econometrics (Details)
- 5701 Applied statistics (Details)
- 5707 Time series analysis (Details)