Quotation Kastner, Gregor, Hosszejni, Darjus. 2021. factorstochvol.


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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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Publication's profile

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 (Ă–STAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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