To cite factorstochvol in publications use:
Hosszejni D, Kastner G (2021). “Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol.” Journal of Statistical Software, 100(12), 1–34. doi:10.18637/jss.v100.i12.
To refer to the interweaving (ASIS) methodology used in factorstochvol please cite:
Kastner G, Frühwirth-Schnatter S, Lopes HF (2017). “Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models.” Journal of Computational and Graphical Statistics, 26(4), 905–917. doi:10.1080/10618600.2017.1322091.
To refer to the shrinkage methodology used in factorstochvol (NG priors) please cite:
Kastner G (2019). “Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions.” Journal of Econometrics, 210(1), 98–115. doi:10.1016/j.jeconom.2018.11.007.
BibTeX entries of the above can be obtained by ‘toBibtex(citation("factorstochvol"))’
Corresponding BibTeX entries:
@Article{, title = {Modeling Univariate and Multivariate Stochastic Volatility in {R} with {stochvol} and {factorstochvol}}, author = {Darjus Hosszejni and Gregor Kastner}, journal = {Journal of Statistical Software}, year = {2021}, volume = {100}, number = {12}, pages = {1--34}, doi = {10.18637/jss.v100.i12}, }
@Article{, title = {Efficient {B}ayesian Inference for Multivariate Factor Stochastic Volatility Models}, author = {Gregor Kastner and Sylvia Fr\"{u}hwirth-Schnatter and Hedibert Freitas Lopes}, journal = {Journal of Computational and Graphical Statistics}, year = {2017}, volume = {26}, number = {4}, pages = {905--917}, doi = {10.1080/10618600.2017.1322091}, }
@Article{, title = {Sparse {B}ayesian Time-Varying Covariance Estimation in Many Dimensions}, author = {Gregor Kastner}, journal = {Journal of Econometrics}, year = {2019}, volume = {210}, number = {1}, pages = {98--115}, doi = {10.1016/j.jeconom.2018.11.007}, }