Gregor Kastner
Gregor Kastner
Professor of Statistics, Department of Statistics, University of Klagenfurt
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Zitiert von
Zitiert von
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
G Kastner, S Frühwirth-Schnatter
Computational Statistics & Data Analysis 76, 408-423, 2014
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
G Kastner
Journal of Statistical Software 69 (5), 1-30, 2016
Efficient Bayesian inference for multivariate factor stochastic volatility models
G Kastner, S Frühwirth-Schnatter, HF Lopes
Journal of Computational and Graphical Statistics 26 (4), 905-917, 2017
Sparse Bayesian time-varying covariance estimation in many dimensions
G Kastner
Journal of Econometrics 210 (1), 98-115, 2019
Sparse Bayesian vector autoregressions in huge dimensions
G Kastner, F Huber
Journal of Forecasting 39 (7), 1142-1165, 2020
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
F Huber, G Kastner, M Feldkircher
Journal of Applied Econometrics 34 (5), 621-640, 2019
Modeling univariate and multivariate stochastic volatility in R with stochvol and factorstochvol
D Hosszejni, G Kastner
Journal of Statistical Software 100 (12), 1-34, 2021
R Package stochvol: Efficient Bayesian inference for stochastic volatility (SV) models
G Kastner, D Hosszejni
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
M Feldkircher, F Huber, G Kastner
arXiv preprint arXiv:1711.00564, 2017
European rapeseed and fossil diesel: Threshold cointegration analysis and possible implications
M Ziegelback, G Kastner
Unternehmerische Landwirtschaft zwischen Marktanforderungen und …, 2012
Heavy-Tailed Innovations in the R Package stochvol
G Kastner, 2015
Investigating the Dark Figure of COVID-19 Cases in Austria: Borrowing From the Decode Genetics Study in Iceland
R Hirk, G Kastner, L Vana
Austrian Journal of Statistics 49 (4), 1-17, 2020
Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
D Hosszejni, G Kastner
International Conference on Bayesian Statistics in Action, 75-83, 2018
Analysis of Exchange Rates via Multivariate Bayesian Factor Stochastic Volatility Models
G Kastner, S Frühwirth-Schnatter, HF Lopes
The Contribution of Young Researchers to Bayesian Statistics, Springer …, 2014
On the joint volatility dynamics in international dairy commodity markets
AN Rezitis, G Kastner
Australian Journal of Agricultural and Resource Economics 65 (3), 704-728, 2021
Package ‘stochvol’
D Hosszejni, G Kastner, MD Hosszejni
Bayesian Statistics from Methods to Models and Applications: Research from BAYSM 2014
S Frühwirth-Schnatter, A Bitto, G Kastner, P Alexandra
Springer, 2015
High Performance Computing with Applications in R
F Schwendinger, G Kastner, S Theußl
Arbitrage hedging in markets for the US lean hogs and the EU live pigs
M Ziegelbäck, G Kastner
Agricultural Economics 59, 505-511, 2013
Posterior predictive model checking using formal methods in a spatio-temporal model
L Vana, E Visconti, L Nenzi, A Cadonna, G Kastner
arXiv preprint arXiv:2110.01360, 2021
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