covmat.fsvsim

<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 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.fsvsim 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>timepoints</dt>
<dd>Vector indicating at which point(s) in time the
correlation matrices should be extracted. Can also be "all" or "last".</dd>
<dt>...</dt>
<dd>Ignored.</dd></dl>

Arguments

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

<dl>

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


<dt>timepoints</dt>
<dd>Vector indicating at which point(s) in time the
correlation matrices should be extracted. Can also be "all" or "last".</dd>


<dt>...</dt>
<dd>Ignored.</dd>

</dl>

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

Description

Usage

Value

Arguments

See Also