factorstochvol

Plot comunalities over time.

Extract "true" model-implied correlations of two series only

Plot correlation matrices for certain points in time

Generic extraction of correlation matrix

Extract posterior draws of the model-implied correlation matrix

Extract "true" model-implied correlation matrix for several points in time

Plots pairwise correlations over time

Plot correlations over time.

Extract "true" model-implied covariances of two series only

Generic extraction of covariance matrix

Extract posterior draws of the model-implied covariance matrix

Extract "true" model-implied covariance matrix for several points in time

Plots posterior draws and posterior means of the eigenvalues of crossprod(facload)

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 Models through MCMC

Ad-hoc method for (weakly) identifying the factor loadings matrix

Markov Chain Monte Carlo (MCMC) Sampling for the Factor Stochastic Volatility Model.

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 matrix

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 have been stored during sampling

Extract summary statistics for the posterior covariance matrix which have been stored during sampling

A posteriori sign identification

Plot series-specific volatilities over time.