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Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | factorstochvol |
Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models |
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24 November 2023
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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>.
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expanded from: GPL (≥ 2) (English)
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