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Details about Gregor Kastner

Homepage:http://statmath.wu.ac.at/~kastner
Workplace:Department of Finance, Accounting and Statistics, WU Wirtschaftsuniversität Wien (WU Vienna University of Economics and Business), (more information at EDIRC)

Access statistics for papers by Gregor Kastner.

Last updated 2019-09-12. Update your information in the RePEc Author Service.

Short-id: pka1304


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Working Papers

2019

  1. Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
    Papers, arXiv.org Downloads
  2. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Statistical Software (2016)
  3. Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
    Papers, arXiv.org Downloads
  4. Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
    Papers, arXiv.org Downloads

2018

  1. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
    Papers, arXiv.org Downloads View citations (2)
    Also in Working Papers in Economics, University of Salzburg (2018) Downloads View citations (1)
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2016) Downloads
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2016) Downloads

    See also Journal Article in Journal of Applied Econometrics (2019)
  2. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business Downloads View citations (1)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2018) Downloads
    Papers, arXiv.org (2017) Downloads View citations (2)
  3. Sparse Bayesian vector autoregressions in huge dimensions
    Papers, arXiv.org Downloads View citations (11)

2017

  1. Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
    Papers, arXiv.org Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2014)
  2. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
    Papers, arXiv.org Downloads View citations (8)
  3. Sparse Bayesian time-varying covariance estimation in many dimensions
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2019)

2011

  1. 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) Downloads View citations (8)

Journal Articles

2019

  1. 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 Downloads
    See also Working Paper (2018)
  2. Sparse Bayesian time-varying covariance estimation in many dimensions
    Journal of Econometrics, 2019, 210, (1), 98-115 Downloads View citations (1)
    See also Working Paper (2017)

2016

  1. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
    Journal of Statistical Software, 2016, 069, (i05) Downloads View citations (41)
    See also Working Paper (2019)

2014

  1. Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
    Computational Statistics & Data Analysis, 2014, 76, (C), 408-423 Downloads View citations (75)
    See also Working Paper (2017)
 
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