Details about Gregor Kastner

Access statistics for papers by Gregor Kastner.

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

Short-id: pka1304

Working Papers

2022

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

2021

2. Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
   Papers, arXiv.org View citations (10)
3. On the joint volatility dynamics in dairy markets
   Papers, arXiv.org

2019

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

2018

8. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
   Working Papers in Economics, University of Salzburg View citations (3)
   Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2016) View citations (1)
   Papers, arXiv.org (2018) View citations (4)
   Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2016) View citations (1)
   See also Journal Article in Journal of Applied Econometrics (2019)
9. 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 View citations (1)
   Also in Papers, arXiv.org (2017) View citations (18)
   Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2018)

2017

10. Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
    Papers, arXiv.org View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2014)
11. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
    Papers, arXiv.org View citations (44)
12. Sparse Bayesian time-varying covariance estimation in many dimensions
    Papers, arXiv.org View citations (9)
    See also Journal Article in Journal of Econometrics (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

2021

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

2020

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

2019

3. 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 (7)
   See also Working Paper (2018)
4. Sparse Bayesian time-varying covariance estimation in many dimensions
   Journal of Econometrics, 2019, 210, (1), 98-115 View citations (33)
   See also Working Paper (2017)

2016

5. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
   Journal of Statistical Software, 2016, 069, (i05) View citations (81)
   See also Working Paper (2019)

2014

6. Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
   Computational Statistics & Data Analysis, 2014, 76, (C), 408-423 View citations (172)
   See also Working Paper (2017)

2013

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