Encoding: UTF-8
Package: factorstochvol
Type: Package
Title: Bayesian Estimation of (Sparse) Latent Factor Stochastic
        Volatility Models
Version: 0.9
Authors@R: person("Gregor", "Kastner", role = c("aut", "cre"),
                  email = "gregor.kastner@wu.ac.at", comment = c(ORCID = "0000-0002-8237-8271"))
Description: 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>.
License: GPL (>= 2)
Depends: R (>= 3.0.2)
Imports: stochvol (>= 2.0.0), GIGrvg (>= 0.4), Rcpp (>= 1.0.0),
        corrplot, methods, grDevices, graphics, stats, utils
LinkingTo: Rcpp, RcppArmadillo (>= 0.7.500.0.0), stochvol
RoxygenNote: 6.1.1
NeedsCompilation: yes
Packaged: 2019-02-01 13:28:18 UTC; dejot
Author: Gregor Kastner [aut, cre] (<https://orcid.org/0000-0002-8237-8271>)
Maintainer: Gregor Kastner <gregor.kastner@wu.ac.at>
Repository: CRAN
Date/Publication: 2019-02-01 14:23:27 UTC
