Gregor Kastner
Names
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Gregor |
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Kastner |
Identifer
Contact
Affiliations
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Universität Klagenfurt, Institut für Statistik (weight: 34%)
- https://www.aau.at/en/statistics/
- location: Klagenfurt
Research profile
author of:
- European Rapeseed And Fossil Diesel: Threshold Cointegration Analysis And Possible Implications (RePEc:ags:gewi11:114741)
by Ziegelback, Martin & Kastner, Gregor - Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models (RePEc:arx:papers:1602.08154)
by Gregor Kastner & Sylvia Fruhwirth-Schnatter & Hedibert Freitas Lopes - Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models (RePEc:arx:papers:1607.04532)
by Florian Huber & Gregor Kastner & Martin Feldkircher - Sparse Bayesian time-varying covariance estimation in many dimensions (RePEc:arx:papers:1608.08468)
by Gregor Kastner - Sparse Bayesian vector autoregressions in huge dimensions (RePEc:arx:papers:1704.03239)
by Gregor Kastner & Florian Huber - Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models (RePEc:arx:papers:1706.05280)
by Gregor Kastner & Sylvia Fruhwirth-Schnatter - Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? (RePEc:arx:papers:1711.00564)
by Martin Feldkircher & Florian Huber & Gregor Kastner - Introducing shrinkage in heavy-tailed state space models to predict equity excess returns (RePEc:arx:papers:1805.12217)
by Florian Huber & Gregor Kastner & Michael Pfarrhofer - Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage (RePEc:arx:papers:1901.11491)
by Darjus Hosszejni & Gregor Kastner - Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol (RePEc:arx:papers:1906.12123)
by Darjus Hosszejni & Gregor Kastner - Dealing with Stochastic Volatility in Time Series Using the R Package stochvol (RePEc:arx:papers:1906.12134)
by Gregor Kastner - On the joint volatility dynamics in dairy markets (RePEc:arx:papers:2104.12707)
by Anthony N. Rezitis & Gregor Kastner - Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends! (RePEc:arx:papers:2206.04902)
by Luis Gruber & Gregor Kastner - On the joint volatility dynamics in international dairy commodity markets (RePEc:bla:ajarec:v:65:y:2021:i:3:p:704-728)
by Anthony N. Rezitis & Gregor Kastner - Arbitrage hedging in markets for the US lean hogs and the EU live pigs (RePEc:caa:jnlage:v:59:y:2013:i:11:id:14-2013-agricecon)
by Martin ZIEGELBÄCK & Gregor KASTNER - Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models (RePEc:eee:csdana:v:76:y:2014:i:c:p:408-423)
by Kastner, Gregor & Frühwirth-Schnatter, Sylvia - Sparse Bayesian time-varying covariance estimation in many dimensions (RePEc:eee:econom:v:210:y:2019:i:1:p:98-115)
by Kastner, Gregor - Dealing with Stochastic Volatility in Time Series Using the R Package stochvol (RePEc:jss:jstsof:v:069:i05)
by Kastner, Gregor - Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models (RePEc:ris:sbgwpe:2018_005)
by Huber, Florian & Kastner, Gregor & Feldkircher, Martin - Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model (RePEc:wiw:wiwwuw:wuwp235)
by Florian Huber & Gregor Kastner & Martin Feldkircher - Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? (RePEc:wiw:wiwwuw:wuwp260)
by Martin Feldkircher & Florian Huber & Gregor Kastner - Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model (RePEc:wiw:wus005:5178)
by Huber, Florian & Kastner, Gregor & Feldkircher, Martin - Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? (RePEc:wiw:wus005:6021)
by Feldkircher, Martin & Kastner, Gregor & Huber, Florian - Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models (RePEc:wly:japmet:v:34:y:2019:i:5:p:621-640)
by Florian Huber & Gregor Kastner & Martin Feldkircher - Sparse Bayesian vector autoregressions in huge dimensions (RePEc:wly:jforec:v:39:y:2020:i:7:p:1142-1165)
by Gregor Kastner & Florian Huber