covelement

<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 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>.

Gregor Kastner

factorstochvol

Bayesian Estimation of (Sparse) Latent Factor Stochastic
Volatility Models

Darjus Hosszejni

Luis Gruber

covelement function

<dl><dt>x</dt>
<dd>Object of class <code>'fsvsim'</code>, usually resulting from a call
of the function <code>fsvsim</code>.</dd>
<dt>i</dt>
<dd>Index of component series 1.</dd>
<dt>j</dt>
<dd>Index of component series 2.</dd>
<dt>these</dt>
<dd>Vector indicating which points in time should be extracted,
defaults to all.</dd></dl>

Arguments

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

<dl>

<dt>x</dt>
<dd>Object of class <code>'fsvsim'</code>, usually resulting from a call
of the function <code>fsvsim</code>.</dd>


<dt>i</dt>
<dd>Index of component series 1.</dd>


<dt>j</dt>
<dd>Index of component series 2.</dd>


<dt>these</dt>
<dd>Vector indicating which points in time should be extracted,
defaults to all.</dd>

</dl>

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

Description

Usage

Value

Arguments

See Also