Gregor Kastner

Publications

741

Citations

H-Index

2011

Active since

Affiliations

Vienna University of Economics and Business(Current)

University of Klagenfurt

Gregor Kastner is an author at Vienna University of Economics and Business specializing in engineering, statistics, and multivariate stochastic volatility.

ORCID

Top concepts

EngineeringStatisticsMultivariate Stochastic VolatilityData ScienceVolatility ModelingStochastic VolatilityFinanceBusinessAsset PricingStochastic Models

Publications per year

2011–2021

Publications

Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models

Gregor Kastner, Sylvia Frühwirth‐Schnatter · Computational Statistics & Data Analysis · 2013 · 291 citations · Full text

Parameter Estimation, Multivariate Stochastic Volatility, Engineering +10

Dealing with Stochastic Volatility in Time Series Using theRPackagestochvol

Gregor Kastner · Journal of Statistical Software · 2016 · 124 citations · Full text

Volatility Modeling, Engineering, Stochastic Analysis +19

Sparse Bayesian time-varying covariance estimation in many dimensions

Gregor Kastner · Journal of Econometrics · 2018 · 109 citations · Full text

Sparse Bayesian vector autoregressions in huge dimensions

Gregor Kastner, Florian Huber · Journal of Forecasting · 2020 · 84 citations · Full text

Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol

Darjus Hosszejni, Gregor Kastner · Journal of Statistical Software · 2021 · 40 citations · Full text

Multivariate Sv, Volatility Modeling, Multivariate Stochastic Volatility +11

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