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 -