factorstochvol

Gregor Kastner; Darjus Hosszejni

factorstochvol

Gregor Kastner^*
, Darjus Hosszejni

^*Korrespondierende*r Autor*in für diese Arbeit

Statistics and Mathematics

Publikation: Elektronische/multimediale Veröffentlichungen › Software

Abstract

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>.

Originalsprache	Englisch
Erscheinungsort	Comprehensive R Archive Network (CRAN)
Herausgeber (Verlag)	The R Foundation
Medium	Online
Publikationsstatus	Veröffentlicht - 9 Feb. 2021

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

102022 Softwareentwicklung
101018 Statistik
502025 Ökonometrie
101026 Zeitreihenanalyse

Zugriff auf Dokument

https://cran.r-project.org/package=factorstochvolLizenz: GNU GPL

Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
Hosszejni, D. & Kastner, G., 2021, in: Journal of Statistical Software. 100, 12, S. 1 - 34
Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

Open Access
Datei

128 Downloads (Pure)

Zitat

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title = "factorstochvol",

abstract = "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 .",

author = "Gregor Kastner and Darjus Hosszejni",

year = "2021",

month = feb,

day = "9",

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}

TY - ADVS

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AU - Kastner, Gregor

AU - Hosszejni, Darjus

PY - 2021/2/9

Y1 - 2021/2/9

N2 - 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 .

AB - 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 .

M3 - Software

PB - The R Foundation

CY - Comprehensive R Archive Network (CRAN)

ER -

factorstochvol

Abstract

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

Zugriff auf Dokument

Publikationen

Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol

Zitat