Details about Gregor Kastner

Access statistics for papers by Gregor Kastner.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pka1304

Working Papers

2025

1. Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!
   Papers, arXiv.org View citations (1)

2024

2. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
   Papers, arXiv.org View citations (18)
   Also in Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2018) View citations (1)
   Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2018)

2021

3. Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
   Papers, arXiv.org View citations (21)
4. On the joint volatility dynamics in dairy markets
   Papers, arXiv.org

2019

5. Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
   Papers, arXiv.org View citations (4)
6. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
   Papers, arXiv.org View citations (7)
   See also Journal Article Dealing with Stochastic Volatility in Time Series Using the R Package stochvol, Journal of Statistical Software, Foundation for Open Access Statistics (2016) View citations (94) (2016)
7. Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
   Papers, arXiv.org
   See also Journal Article Introducing shrinkage in heavy-tailed state space models to predict equity excess returns, Empirical Economics, Springer (2025) (2025)
8. Sparse Bayesian vector autoregressions in huge dimensions
   Papers, arXiv.org View citations (18)
   See also Journal Article Sparse Bayesian vector autoregressions in huge dimensions, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (37) (2020)

2018

9. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
   Papers, arXiv.org View citations (4)
   Also in Working Papers in Economics, University of Salzburg (2018) View citations (3)
   Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2016) View citations (1)
   Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2016) View citations (1)
   See also Journal Article Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (9) (2019)

2017

10. Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
    Papers, arXiv.org View citations (3)
    See also Journal Article Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models, Computational Statistics & Data Analysis, Elsevier (2014) View citations (218) (2014)
11. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
    Papers, arXiv.org View citations (53)
12. Sparse Bayesian time-varying covariance estimation in many dimensions
    Papers, arXiv.org View citations (9)
    See also Journal Article Sparse Bayesian time-varying covariance estimation in many dimensions, Journal of Econometrics, Elsevier (2019) View citations (50) (2019)

2011

13. EUROPEAN RAPESEED AND FOSSIL DIESEL: THRESHOLD COINTEGRATION ANALYSIS AND POSSIBLE IMPLICATIONS
    51st Annual Conference, Halle, Germany, September 28-30, 2011, German Association of Agricultural Economists (GEWISOLA) View citations (12)

Journal Articles

2025

1. Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
   Empirical Economics, 2025, 68, (2), 535-553
   See also Working Paper Introducing shrinkage in heavy-tailed state space models to predict equity excess returns, Papers (2019) (2019)

2024

2. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?
   Journal of Forecasting, 2024, 43, (6), 2126-2145

2021

3. On the joint volatility dynamics in international dairy commodity markets
   Australian Journal of Agricultural and Resource Economics, 2021, 60, (2) View citations (1)
   Also in Australian Journal of Agricultural and Resource Economics, 2021, 65, (3), 704-728 (2021) View citations (2)

2020

4. Sparse Bayesian vector autoregressions in huge dimensions
   Journal of Forecasting, 2020, 39, (7), 1142-1165 View citations (37)
   See also Working Paper Sparse Bayesian vector autoregressions in huge dimensions, Papers (2019) View citations (18) (2019)

2019

5. Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models
   Journal of Applied Econometrics, 2019, 34, (5), 621-640 View citations (9)
   See also Working Paper Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models, Papers (2018) View citations (4) (2018)
6. Sparse Bayesian time-varying covariance estimation in many dimensions
   Journal of Econometrics, 2019, 210, (1), 98-115 View citations (50)
   See also Working Paper Sparse Bayesian time-varying covariance estimation in many dimensions, Papers (2017) View citations (9) (2017)

2016

7. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
   Journal of Statistical Software, 2016, 069, (i05) View citations (94)
   See also Working Paper Dealing with Stochastic Volatility in Time Series Using the R Package stochvol, Papers (2019) View citations (7) (2019)

2014

8. Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
   Computational Statistics & Data Analysis, 2014, 76, (C), 408-423 View citations (218)
   See also Working Paper Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models, Papers (2017) View citations (3) (2017)

2013

9. Arbitrage hedging in markets for the US lean hogs and the EU live pigs
   Agricultural Economics, 2013, 59, (11), 505-511 View citations (1)