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Details about Gregor Kastner

Homepage:http://statmath.wu.ac.at/~kastner
Workplace:Universität Klagenfurt, Institut für Statistik

Access statistics for papers by Gregor Kastner.

Last updated 2023-05-10. Update your information in the RePEc Author Service.

Short-id: pka1304


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Working Papers

2024

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

2023

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

2021

  1. Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
    Papers, arXiv.org Downloads View citations (14)
  2. On the joint volatility dynamics in dairy markets
    Papers, arXiv.org Downloads

2019

  1. Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
    Papers, arXiv.org Downloads View citations (4)
  2. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
    Papers, arXiv.org Downloads View citations (5)
    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) Downloads View citations (87) (2016)
  3. Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
    Papers, arXiv.org Downloads
  4. Sparse Bayesian vector autoregressions in huge dimensions
    Papers, arXiv.org Downloads View citations (19)
    See also Journal Article Sparse Bayesian vector autoregressions in huge dimensions, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) Downloads View citations (27) (2020)

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 (4)
    Also in Working Papers in Economics, University of Salzburg (2018) Downloads View citations (3)
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2016) Downloads View citations (1)
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2016) Downloads 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) Downloads View citations (8) (2019)

2017

  1. Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
    Papers, arXiv.org Downloads 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) Downloads View citations (206) (2014)
  2. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
    Papers, arXiv.org Downloads View citations (50)
  3. Sparse Bayesian time-varying covariance estimation in many dimensions
    Papers, arXiv.org Downloads View citations (9)
    See also Journal Article Sparse Bayesian time-varying covariance estimation in many dimensions, Journal of Econometrics, Elsevier (2019) Downloads View citations (40) (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 (12)

Journal Articles

2021

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

2020

  1. Sparse Bayesian vector autoregressions in huge dimensions
    Journal of Forecasting, 2020, 39, (7), 1142-1165 Downloads View citations (27)
    See also Working Paper Sparse Bayesian vector autoregressions in huge dimensions, Papers (2019) Downloads View citations (19) (2019)

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 View citations (8)
    See also Working Paper Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models, Papers (2018) Downloads View citations (4) (2018)
  2. Sparse Bayesian time-varying covariance estimation in many dimensions
    Journal of Econometrics, 2019, 210, (1), 98-115 Downloads View citations (40)
    See also Working Paper Sparse Bayesian time-varying covariance estimation in many dimensions, Papers (2017) Downloads View citations (9) (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 (87)
    See also Working Paper Dealing with Stochastic Volatility in Time Series Using the R Package stochvol, Papers (2019) Downloads View citations (5) (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 (206)
    See also Working Paper Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models, Papers (2017) Downloads View citations (3) (2017)

2013

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