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factorstochvol
View on CRAN: Click
here
Download and install factorstochvol package within the R console
Install from CRAN:
install.packages("factorstochvol")
Install from Github:
library("remotes")
install_github("cran/factorstochvol")
Install by package version:
library("remotes")
install_version("factorstochvol", "1.1.0")
Attach the package and use:
library("factorstochvol")
Maintained by
Gregor Kastner
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
10.32614/CRAN.package.factorstochvol . factorstochvol citation info . factorstochvol results . factorstochvol.pdf . Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol . factorstochvol_1.1.0.tar.gz . factorstochvol_1.1.0.zip . factorstochvol_1.1.0.zip . factorstochvol_1.1.0.zip . factorstochvol_1.1.0.tgz . factorstochvol_1.1.0.tgz . factorstochvol_1.1.0.tgz . factorstochvol_1.1.0.tgz . factorstochvol_1.1.0.tgz . factorstochvol_1.1.0.tgz . factorstochvol archive . https://CRAN.R-project.org/package=factorstochvol .
First Published: 2016-08-31
Latest Update: 2023-11-24
Description:
Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving . Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix .
How to cite:
Gregor Kastner (2016). factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models. R package version 1.1.0, https://cran.r-project.org/web/packages/factorstochvol. Accessed 29 Mar. 2025.
Previous versions and publish date:
0.8.1 (2016-08-31 08:39), 0.8.2 (2016-09-20 13:01), 0.8.3 (2016-12-31 17:21), 0.9.2 (2019-06-27 11:50), 0.9.3 (2019-10-06 16:10), 0.9 (2019-02-01 15:23), 0.10.0 (2020-11-09 11:20), 0.10.1 (2020-11-13 23:40), 0.10.2 (2021-02-09 19:10), 1.0.0 (2021-11-29 12:40), 1.0.1 (2021-12-07 10:00), 1.0.2 (2023-09-09 23:30), 1.0.6 (2023-10-12 16:30)
Other packages that cited factorstochvol R package
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Other R packages that factorstochvol depends,
imports, suggests or enhances
Complete documentation for factorstochvol
Functions, R codes and Examples using
the factorstochvol R package
Some associated functions: comtimeplot . corelement . corimageplot . cormat.fsvdraws . cormat.fsvsim . cormat . corplot . cortimeplot . covelement . covmat.fsvdraws . covmat.fsvsim . covmat . evdiag . expweightcov . facloadcredplot . facloaddensplot . facloadpairplot . facloadpointplot . facloadtraceplot . factorstochvol-package . findrestrict . fsvsample . fsvsim . ledermann . logret . logvartimeplot . orderident . paratraceplot . plot.fsvdraws . plotalot . predcond . predcor . predcov . predh . predloglik . predloglikWB . predprecWB . preorder . print.fsvdraws . runningcormat . runningcovmat . signident . voltimeplot .
Some associated R codes: factorstochvol-package.R . generics.R . imports.R . plotting.R . simulation.R . utilities_fsvdraws.R . utilities_fsvsim.R . utilities_other.R . wrappers.R . zzz.R . Full factorstochvol package functions and examples
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