covmat.fsvsim

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>covmat</code> extracts the model-implied (time-varying) covariance matrix
from an <code>fsvsim</code> object.


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

covmat.fsvsim function

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

covmat.fsvsim: Extract "true" model-implied covariance matrix for several points in time

Description

Usage

Arguments

Value

See Also