Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
Plot communalities over time.
Extract "true" model-implied correlations of two series only
Plot correlation matrices for certain points in time
Extract posterior draws of the model-implied correlation matrix
Extract "true" model-implied correlation matrix for several points in ...
Generic extraction of correlation matrix
Plots pairwise correlations over time
Plot correlations over time.
Extract "true" model-implied covariances of two series only
Extract posterior draws of the model-implied covariance matrix
Extract "true" model-implied covariance matrix for several points in t...
Generic extraction of covariance matrix
Plots posterior draws and posterior means of the eigenvalues of crossp...
Computes the empirical exponentially weighted covariance matrix
Displays bivariate marginal posterior distribution of factor loadings.
Density plots of factor loadings draws
Displays bivariate marginal posterior distributions of factor loadings...
Displays point estimates of the factor loadings posterior.
Trace plots of factor loadings draws
Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Mo...
Ad-hoc method for (weakly) identifying the factor loadings matrix
Markov Chain Monte Carlo (MCMC) Sampling for the Factor Stochastic Vol...
Simulate data from a factor SV model
Ledermann bound for the number of factors
Compute the log returns of a vector-valued time series
Plot log-variances over time.
A posteriori factor order identification
Trace plots of parameter draws.
Default factor SV plot
Several factor SV plots useful for model diagnostics
Predicts means and variances conditionally on the factors
Predicts correlation matrix
Predicts covariance matrix
Predicts factor and idiosyncratic log-volatilities h
Evaluates the predictive log likelihood using the predicted covariance...
Evaluates the predictive log likelihood using the Woodbury identity
Predicts precision matrix and its determinant (Woodbury variant)
Ad-hoc methods for determining the order of variables
Pretty printing of an fsvsdraws object
Extract summary statistics for the posterior correlation matrix which ...
Extract summary statistics for the posterior covariance matrix which h...
A posteriori sign identification
Plot series-specific volatilities over time.
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>.