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Gregor Kastner

Personal Details

First Name:Gregor
Middle Name:
Last Name:Kastner
Suffix:
RePEc Short-ID:pka1304
[This author has chosen not to make the email address public]
http://statmath.wu.ac.at/~kastner

Affiliation

(34%) Universität Klagenfurt, Institut für Statistik

https://www.aau.at/en/statistics/
Klagenfurt

Research output

as
Jump to: Working papers Articles

Working papers

  1. Luis Gruber & Gregor Kastner, 2022. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers 2206.04902, arXiv.org, revised Nov 2024.
  2. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
  3. Darjus Hosszejni & Gregor Kastner, 2019. "Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol," Papers 1906.12123, arXiv.org, revised Feb 2021.
  4. Gregor Kastner, 2019. "Dealing with Stochastic Volatility in Time Series Using the R Package stochvol," Papers 1906.12134, arXiv.org.
  5. Darjus Hosszejni & Gregor Kastner, 2019. "Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage," Papers 1901.11491, arXiv.org, revised Nov 2019.
  6. Florian Huber & Gregor Kastner & Michael Pfarrhofer, 2018. "Introducing shrinkage in heavy-tailed state space models to predict equity excess returns," Papers 1805.12217, arXiv.org, revised Jul 2019.
  7. Gregor Kastner & Sylvia Fruhwirth-Schnatter, 2017. "Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models," Papers 1706.05280, arXiv.org.
  8. Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner, 2017. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?," Papers 1711.00564, arXiv.org, revised Mar 2024.
  9. Gregor Kastner & Florian Huber, 2017. "Sparse Bayesian vector autoregressions in huge dimensions," Papers 1704.03239, arXiv.org, revised Dec 2019.
  10. Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
  11. Gregor Kastner & Sylvia Fruhwirth-Schnatter & Hedibert Freitas Lopes, 2016. "Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models," Papers 1602.08154, arXiv.org, revised Jul 2017.
  12. Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
  13. Ziegelback, Martin & Kastner, Gregor, 2011. "European Rapeseed And Fossil Diesel: Threshold Cointegration Analysis And Possible Implications," 51st Annual Conference, Halle, Germany, September 28-30, 2011 114741, German Association of Agricultural Economists (GEWISOLA).

Articles

  1. Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner, 2024. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2126-2145, September.
  2. Rezitis, Anthony N. & Kastner, Gregor, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(2), January.
  3. Gregor Kastner & Florian Huber, 2020. "Sparse Bayesian vector autoregressions in huge dimensions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1142-1165, November.
  4. Kastner, Gregor, 2019. "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
  5. Florian Huber & Gregor Kastner & Martin Feldkircher, 2019. "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., vol. 34(5), pages 621-640, August.
  6. Kastner, Gregor, 2016. "Dealing with Stochastic Volatility in Time Series Using the R Package stochvol," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 69(i05).
  7. Kastner, Gregor & Frühwirth-Schnatter, Sylvia, 2014. "Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 408-423.
  8. Martin ZIEGELBÄCK & Gregor KASTNER, 2013. "Arbitrage hedging in markets for the US lean hogs and the EU live pigs," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 59(11), pages 505-511.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (8) 2016-10-02 2017-11-26 2017-11-26 2018-01-22 2018-02-12 2018-07-23 2019-03-11 2022-07-18. Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2017-01-15 2017-11-26 2017-11-26 2018-01-22 2019-03-11 2019-07-08 2019-07-08 2022-07-18. Author is listed
  3. NEP-MAC: Macroeconomics (6) 2016-10-02 2017-01-15 2017-11-26 2018-02-12 2018-11-19 2022-07-18. Author is listed
  4. NEP-AGR: Agricultural Economics (2) 2011-10-15 2021-05-03
  5. NEP-FOR: Forecasting (2) 2018-07-23 2022-07-18
  6. NEP-ORE: Operations Research (2) 2016-10-02 2018-11-19
  7. NEP-CBA: Central Banking (1) 2018-11-19
  8. NEP-DEM: Demographic Economics (1) 2022-07-18
  9. NEP-ENE: Energy Economics (1) 2011-10-15
  10. NEP-ENV: Environmental Economics (1) 2011-10-15
  11. NEP-FMK: Financial Markets (1) 2018-07-23
  12. NEP-MON: Monetary Economics (1) 2018-11-19
  13. NEP-RMG: Risk Management (1) 2019-07-08

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