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2021
factorstochvol
Kastner, G. & Hosszejni, D., 9 Feb. 2021Publikation: Elektronische/multimediale Veröffentlichungen › Software
Open Access -
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
Hosszejni, D. & Kastner, G., 2021, in: Journal of Statistical Software. 100, 12, S. 1 - 34Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
Open AccessDatei6 Downloads (Pure) -
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
Hosszejni, D. & Kastner, G., 2021, Vienna.Publikation: Working/Discussion Paper
Datei4 Downloads (Pure) -
On the joint volatility dynamics in international dairy commodity markets
Rezitis, A. N. & Kastner, G., 2021, in: Australian Journal of Agricultural and Resource Economics. 65, 3, S. 704 - 728Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
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stochvol
Hosszejni, D. & Kastner, G., 12 Juli 2021Publikation: Elektronische/multimediale Veröffentlichungen › Software
Open Access -
2020
Efficient Estimation of the Stochastic Volatility Model with Leverage
Hosszejni, D. & Kastner, G., 2020.Publikation: Konferenzbeitrag › Konferenzposter
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Investigating the Dark Figure of COVID-19 Cases in Austria: Borrowing From the Decode Genetics Study in Iceland
Hirk, R., Kastner, G. & Vana Gür, L., 2020, in: Austrian Journal of Statistics. 49, 5, S. 1 - 17Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
Open AccessDatei3 Downloads (Pure) -
Sparse Bayesian Vector Autoregressions in Huge Dimensions
Kastner, G. & Huber, F., 2020, in: Journal of Forecasting. 39, S. 1142 - 1165Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
Open AccessDatei6 Downloads (Pure) -
2019
Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
Hosszejni, D. & Kastner, G., 2019, Bayesian Statistics and New Generations - Selected Contributions from BAYSM 2018. Raffaele Argiento, Daniele Durante, Sara Wade (Hrsg.). Cham: Springer, S. 75 - 83Publikation: Beitrag in Buch/Konferenzband › Beitrag in Sammelwerk
Datei5 Downloads (Pure) -
Efficient Estimation of the Stochastic Volatility Model with Leverage
Hosszejni, D. & Kastner, G., 2019.Publikation: Konferenzbeitrag › Konferenzposter
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Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
Huber, F., Kastner, G. & Feldkircher, M., 2019, in: Journal of Applied Econometrics. 34, 5, S. 621 - 640Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
Open AccessDatei10 Downloads (Pure) -
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
Feldkircher, M., Huber, F. & Kastner, G., 2019.Publikation: Konferenzbeitrag › Konferenzposter
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Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions
Kastner, G., 2019, in: Journal of Econometrics. 210, 1, S. 98 - 115Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
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stochvol 2.0.0 - Stochastic volatility models with leverage in R
Hosszejni, D. & Kastner, G., 26 März 2019, ISBA Bulletin, 26, 1, S. 8-15.Publikation: Populärwissenschaftliche Artikel (z.B. Magazine) › Populärwissenschaftlicher Artikel
Open Access -
2018
Efficient Estimation of the Stochastic Volatility Model with Leverage
Hosszejni, D. & Kastner, G., 2018.Publikation: Konferenzbeitrag › Konferenzposter
Open AccessDatei1 Downloads (Pure) -
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
Feldkircher, M., Kastner, G. & Huber, F., 2018, Vienna: WU Vienna University of Economics and Business, (Department of Economics Working Paper Series; Nr. 260).Publikation: Working/Discussion Paper › WU Working Paper
Open AccessDatei15 Downloads (Pure) -
Sparse Bayesian Vector Autoregressions in Huge Dimensions
Kastner, G. & Huber, F., 2018.Publikation: Konferenzbeitrag › Konferenzposter
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2017
Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 2017, in: Journal of Computational and Graphical Statistics. 26, 4, S. 905 - 917Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
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factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
Kastner, G., 2017Publikation: Elektronische/multimediale Veröffentlichungen › Software
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Review: Statistik und Intuition. Alltagsbeispiele kritisch hinterfragt (Katharina Schüller)
Kastner, G., 2017, in: Internationale Mathematische Nachrichten. 235, S. 46 - 47Publikation: Wissenschaftliche Fachzeitschrift › Sonstiger Beitrag in Fachzeitschrift
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Should I Stay or Should I Go? Bayesian Inference in the Threshold Time Varying Parameter (TTVP) Model
Huber, F., Kastner, G. & Feldkircher, M., 2017, (Research Report Series / Department of Statistics and Mathematics; Nr. 130).Publikation: Working/Discussion Paper › WU Working Paper
Open AccessDatei11 Downloads (Pure) -
Sophisticated and Small Versus Simple and Sizeable: When Does it Pay Off to Introduce Drifting Coefficients in Bayesian VARs?
Feldkircher, M., Huber, F. & Kastner, G., 2017.Publikation: Working/Discussion Paper
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Sparse Bayesian Vector Autoregressions in Huge Dimensions
Kastner, G. & Huber, F., 2017.Publikation: Konferenzbeitrag › Konferenzposter
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Sparse Bayesian Vector Autoregressions in Huge Dimensions
Kastner, G. & Huber, F., 2017.Publikation: Working/Discussion Paper
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stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models
Kastner, G., 19 Sep. 2017Publikation: Elektronische/multimediale Veröffentlichungen › Software
Datei18 Downloads (Pure) -
2016
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
Kastner, G., 2016, in: Journal of Statistical Software. 69, 5, S. 1 - 30Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
Datei3 Downloads (Pure) -
Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 24 Feb. 2016, Vienna: WU Vienna University of Economics and Business, (Research Report Series / Department of Statistics and Mathematics; Nr. 128).Publikation: Working/Discussion Paper › WU Working Paper
Open AccessDatei7 Downloads (Pure) -
Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model
Huber, F., Kastner, G. & Feldkircher, M., 1 Sep. 2016, Vienna: WU Vienna University of Economics and Business, (Department of Economics Working Paper Series; Nr. 235).Publikation: Working/Discussion Paper › WU Working Paper
Open AccessDatei12 Downloads (Pure) -
Should I Stay or Should I Go? Bayesian Inference in the Threshold Time Varying Parameter (TTVP) Model
Huber, F., Kastner, G. & Feldkircher, M., 2016.Publikation: Konferenzbeitrag › Konferenzposter
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Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions
Kastner, G., 18 Sep. 2016, Vienna: WU Vienna University of Economics and Business, (Research Report Series / Department of Statistics and Mathematics; Nr. 129).Publikation: Working/Discussion Paper › WU Working Paper
Open AccessDatei69 Downloads (Pure) -
Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions
Kastner, G., 2016.Publikation: Working/Discussion Paper
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2015
Bayesian Statistics from Methods to Models and Applications - Research from BAYSM 2014
Frühwirth-Schnatter, S., Bitto-Nemling, A., Kastner, G. & Posekany, A., 2015, Switzerland: Springer International Publishing.Publikation: Buch, Herausgeberschaft, Bericht › Sammelband (Herausgeberschaft)
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Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
Kastner, G., 1 Feb. 2015, (R Package Vignette).Publikation: Working/Discussion Paper
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Dynamic covariance estimation using sparse Bayesian factor stochastic volatility models
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 2015, Proceedings of the 30th International Workshop on Statistical Modelling, Volume 2. Herwig Friedl, Helga Wagner (Hrsg.). Linz, S. 139 - 142Publikation: Beitrag in Buch/Konferenzband › Beitrag in Konferenzband
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Dynamic covariance estimation using sparse Bayesian factor stochastic volatility models
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 1 Juli 2015.Publikation: Konferenzbeitrag › Konferenzposter
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Heavy-Tailed Innovations in the R Package stochvol
Kastner, G., 1 Mai 2015, (R Package Vignette).Publikation: Working/Discussion Paper
Datei4 Downloads (Pure) -
2014
Analysis of Exchange Rates via Multivariate Bayesian Factor Stochastic Volatility Models
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 2014, The Contribution of Young Researchers to Bayesian Statistics, Proceedings of BAYSM2013, Springer Proceedings in Mathematics & Statistics, Vol. 63. Ettore Lanzarone and Francesca Ieva (Hrsg.). Switzerland: Springer, S. 181 - 185Publikation: Beitrag in Buch/Konferenzband › Beitrag in Konferenzband
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Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
Kastner, G. & Frühwirth-Schnatter, S., 2014, in: Computational Statistics and Data Analysis. 76, S. 408 - 423Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
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Efficient Bayesian Inference for Univariate and High-Dimensional Stochastic Volatility Models
Kastner, G., 2014Publikation: Abschlussarbeit › Dissertation
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News from BAYSM 2014
Posekany, A., Bitto-Nemling, A. & Kastner, G., 13 Okt. 2014, The ISBA Bulletin - The official bulletin of the International Society for Bayesian Analysis.Publikation: Populärwissenschaftliche Artikel (z.B. Magazine) › Populärwissenschaftlicher Artikel
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Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 1 Juli 2014.Publikation: Konferenzbeitrag › Konferenzposter
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Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 2014.Publikation: Konferenzbeitrag › Konferenzposter
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2013
Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
Kastner, G. & Frühwirth-Schnatter, S., 2013, (Research Report Series, Institute for Statistics and Mathematics; Band 121).Publikation: Working/Discussion Paper
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Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
Kastner, G. & Frühwirth-Schnatter, S., 2013, Vienna: WU Vienna University of Economics and Business, (Research Report Series / Department of Statistics and Mathematics; Nr. 121).Publikation: Working/Discussion Paper › WU Working Paper
Open AccessDatei14 Downloads (Pure) -
Arbitrage hedging in markets for the US lean hogs and the EU live pigs
Ziegelbäck, M. & Kastner, G., 2013, in: Agricultural Economics. 59, 11, S. 505 - 511Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung
Open AccessDatei1 Downloads (Pure) -
2012
Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 1 Nov. 2012.Publikation: Konferenzbeitrag › Konferenzposter
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Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models
Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 1 Juli 2012.Publikation: Konferenzbeitrag › Konferenzposter
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European rapeseed and fossil diesel: threshold cointegration analysis and possible implications
Ziegelbäck, M. & Kastner, G., 1 Feb. 2012, Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e. V., Band 47: Unternehmerische Landwirtschaft zwischen Marktanforderungen und gesellschaftlichen Erwartungen. Alfons Balmann, Thomas Glauben, Marten Graubner, Michael Grings, Norbert Hirschauer, Franziska Schaft, Peter Wagner (Hrsg.). Münster: Landwirtschaftsverlag GmbH, S. 439 - 444Publikation: Beitrag in Buch/Konferenzband › Beitrag in Konferenzband
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2011
Efficient Bayesian Inference for Stochastic Volatility Models
Kastner, G. & Frühwirth-Schnatter, S., 2011.Publikation: Konferenzbeitrag › Konferenzposter
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European Rapeseed and Fossil Diesel: Threshold Cointegration Analysis and Possible Implications
Ziegelbäck, M. & Kastner, G., 1 Dez. 2011.Publikation: Konferenzbeitrag › Konferenzposter