logret

logret.data.frame

logret.matrix

The raw data, a matrix with <code>n</code>
(number of timepoints) rows and <code>m</code>
(number of component series) columns.

Logical value indicating whether the data should
be de-meaned.

demean


<code>logret</code> computes the log returns of a multivariate time
series, with optional de-meaning.


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

logret function

<ul>
<li> <code>matrix</code>: (De-meaned) log returns </li>
<li> <code>data.frame</code>: (De-meaned) log returns
</li>
</ul>

logret: Computes the log returns of a vector-valued time series

Description

Usage

Arguments

Value

Methods (by class)

See Also