R package factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models. 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>.

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  1. Kastner, Gregor: Sparse Bayesian time-varying covariance estimation in many dimensions (2019)