TY  - GEN
TI  - factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
AB  - Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix.
PY  - 2017-01-01
AU  - Kastner, Gregor 
ER -