covelement

Object of class <code>'fsvsim'</code>, usually resulting from a call
of the function <code><a rd-options="" href="/link/fsvsim?package=factorstochvol&version=0.8.1" data-mini-rdoc="factorstochvol::fsvsim">fsvsim</a></code>.

Vector indicating which points in time should be extracted,
defaults to all.

these


<code>covelement</code> extracts the model-implied (time-varying) covariances between
(exactly) two component series.


Markov chain Monte Carlo (MCMC) sampler for fully Bayesian
estimation of latent factor stochastic volatility models.
Sparsity can be achieved through the usage of Normal-Gamma priors
on the factor loading matrix.

Gregor Kastner

factorstochvol

Bayesian Estimation of (Sparse) Latent Factor Stochastic
Volatility Models

covelement function

Object of class <code>'fsvsim'</code>, usually resulting from a call
of the function <code><a rd-options='' href='fsvsim'>fsvsim</a></code>.

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

Description

Usage

Arguments

Value

See Also