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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.1.2 |
rolling linux/jammy R-4.5 | factorstochvol_1.1.2.tar.gz |
2.7 MiB |
1.1.2 |
rolling linux/noble R-4.5 | factorstochvol_1.1.2.tar.gz |
2.8 MiB |
1.1.2 |
rolling source/ R- | factorstochvol_1.1.2.tar.gz |
4.2 MiB |
1.1.2 |
latest linux/jammy R-4.5 | factorstochvol_1.1.2.tar.gz |
2.7 MiB |
1.1.2 |
latest linux/noble R-4.5 | factorstochvol_1.1.2.tar.gz |
2.8 MiB |
1.1.2 |
latest source/ R- | factorstochvol_1.1.2.tar.gz |
4.2 MiB |
1.1.2 |
2026-04-26 source/ R- | factorstochvol_1.1.2.tar.gz |
4.2 MiB |
1.1.2 |
2026-04-23 source/ R- | factorstochvol_1.1.2.tar.gz |
4.2 MiB |
1.1.2 |
2026-04-09 windows/windows R-4.5 | factorstochvol_1.1.2.zip |
3.1 MiB |
1.1.0 |
2025-04-20 source/ R- | factorstochvol_1.1.0.tar.gz |
4.2 MiB |