covmat

Generic function for extracting model-implied covariance matrices, either
from the MCMC output, or from the simulated model. Details about the
function's behavior can be found in <code>covmat.fsvdraws</code>
(the function invoked when applied to MCMC output) or
<code>covmat.fsvsim</code> (the function invoked when applied to a
simulated model.

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

covmat function

<dl><dt>x</dt>
<dd>An object of class <code>fsvdraws</code> or <code>fsvsim</code>.</dd>
<dt>...</dt>
<dd>Arguments to be passed to methods.</dd></dl>

Arguments

Generic extraction of covariance matrix — covmat

<dl>

<dt>x</dt>
<dd>An object of class <code>fsvdraws</code> or <code>fsvsim</code>.</dd>


<dt>...</dt>
<dd>Arguments to be passed to methods.</dd>

</dl>

covmat: Generic extraction of covariance matrix

Description

Usage

Value

Arguments

See Also