Installation
About
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.
| Citation | factorstochvol citation info |
Key Metrics
Downloads
| Yesterday | 9 0% |
| Last 7 days | 84 +12% |
| Last 30 days | 440 -34% |
| Last 90 days | 1.829 -7% |
| Last 365 days | 6.480 +9% |