Publications

Research output per year 2011 2014 2015 2016 2017 2019 2021 2021

• 12 Conference poster
• 10 Journal article
• 7 Working/Discussion Paper
• 6 WU Working Paper
• 14 More
  • 4 Contribution to conference proceedings
  • 4 Software
  • 2 Popular science article
  • 1 Edited book (editorship)
  • 1 Chapter in edited volume
  • 1 Other contribution to journal
  • 1 Doctoral thesis

Research output per year

Research output per year

Search results

• 2021

  factorstochvol

  Kastner, G. & Hosszejni, D., 9 Feb 2021

  Publication: Non-textual form › Software

  Open Access

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

  Hosszejni, D. & Kastner, G., 2021, Vienna.

  Publication: Working/Discussion Paper › Working Paper/Preprint

  File
  20 Downloads (Pure)

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

  Hosszejni, D. & Kastner, G., 2021, In: Journal of Statistical Software. 100, 12, p. 1 - 34

  Publication: Scientific journal › Journal article › peer-review

  Open Access

  File
  7 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, p. 704 - 728

  Publication: Scientific journal › Journal article › peer-review

• stochvol

  Hosszejni, D. & Kastner, G., 12 Jul 2021

  Publication: Non-textual form › Software

  Open Access
• 2020

  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, p. 1 - 17

  Publication: Scientific journal › Journal article › peer-review

  Open Access

  File
  5 Downloads (Pure)

• Sparse Bayesian Vector Autoregressions in Huge Dimensions

  Kastner, G. & Huber, F., 2020, In: Journal of Forecasting. 39, p. 1142 - 1165

  Publication: Scientific journal › Journal article › peer-review

  Open Access

  File
  7 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 (ed.). Cham: Springer, p. 75 - 83

  Publication: Chapter in book/Conference proceeding › Chapter in edited volume

  File
  15 Downloads (Pure)

• 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, p. 621 - 640

  Publication: Scientific journal › Journal article › peer-review

  Open Access

  File
  12 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.

  Publication: Contribution to conference › Conference poster

• Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions

  Kastner, G., 2019, In: Journal of Econometrics. 210, 1, p. 98 - 115

  Publication: Scientific journal › Journal article › peer-review

• stochvol 2.0.0 - Stochastic volatility models with leverage in R

  Hosszejni, D. & Kastner, G., 26 Mar 2019, ISBA Bulletin, 26, 1, p. 8-15.

  Publication: Popular science articles (i.e. magazines) › Popular science article

  Open Access
• 2018

  Efficient Estimation of the Stochastic Volatility Model with Leverage

  Hosszejni, D. & Kastner, G., 2018.

  Publication: Contribution to conference › Conference poster

  Open Access

  File
  3 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; No. 260).

  Publication: Working/Discussion Paper › WU Working Paper

  Open Access

  File
  16 Downloads (Pure)

• Sparse Bayesian Vector Autoregressions in Huge Dimensions

  Kastner, G. & Huber, F., 2018.

  Publication: Contribution to conference › Conference poster

• 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, p. 905 - 917

  Publication: Scientific journal › Journal article › peer-review

• factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

  Kastner, G., 2017

  Publication: Non-textual form › Software

• Review: Statistik und Intuition. Alltagsbeispiele kritisch hinterfragt (Katharina Schüller)

  Kastner, G., 2017, In: Internationale Mathematische Nachrichten. 235, p. 46 - 47

  Publication: Scientific journal › Other contribution to journal

• 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; No. 130).

  Publication: Working/Discussion Paper › WU Working Paper

  Open Access

  File
  14 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.

  Publication: Working/Discussion Paper › Working Paper/Preprint

• Sparse Bayesian Vector Autoregressions in Huge Dimensions

  Kastner, G. & Huber, F., 2017.

  Publication: Working/Discussion Paper › Working Paper/Preprint

• Sparse Bayesian Vector Autoregressions in Huge Dimensions

  Kastner, G. & Huber, F., 2017.

  Publication: Contribution to conference › Conference poster

• stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models

  Kastner, G., 19 Sept 2017

  Publication: Non-textual form › Software

  File
  23 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, p. 1 - 30

  Publication: Scientific journal › Journal article › peer-review

  File
  5 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; No. 128).

  Publication: Working/Discussion Paper › WU Working Paper

  Open Access

  File
  12 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 Sept 2016, Vienna: WU Vienna University of Economics and Business, (Department of Economics Working Paper Series; No. 235).

  Publication: Working/Discussion Paper › WU Working Paper

  Open Access

  File
  14 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.

  Publication: Contribution to conference › Conference poster

• Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions

  Kastner, G., 18 Sept 2016, Vienna: WU Vienna University of Economics and Business, (Research Report Series / Department of Statistics and Mathematics; No. 129).

  Publication: Working/Discussion Paper › WU Working Paper

  Open Access

  File
  118 Downloads (Pure)

• Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions

  Kastner, G., 2016.

  Publication: Working/Discussion Paper › Working Paper/Preprint

• 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.

  Publication: Book/Editorship/Report › Edited book (editorship)

• Dealing with Stochastic Volatility in Time Series Using the R Package stochvol

  Kastner, G., 1 Feb 2015, (R Package Vignette).

  Publication: Working/Discussion Paper › Working Paper/Preprint

• 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 (ed.). Linz, p. 139 - 142

  Publication: Chapter in book/Conference proceeding › Contribution to conference proceedings

• Dynamic covariance estimation using sparse Bayesian factor stochastic volatility models

  Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 1 Jul 2015.

  Publication: Contribution to conference › Conference poster

• Heavy-Tailed Innovations in the R Package stochvol

  Kastner, G., 1 May 2015, (R Package Vignette).

  Publication: Working/Discussion Paper › Working Paper/Preprint

  File
  9 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 (ed.). Switzerland: Springer, p. 181 - 185

  Publication: Chapter in book/Conference proceeding › Contribution to conference proceedings

• 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, p. 408 - 423

  Publication: Scientific journal › Journal article › peer-review

• Efficient Bayesian Inference for Univariate and High-Dimensional Stochastic Volatility Models

  Kastner, G., 2014

  Publication: Thesis › Doctoral thesis

• News from BAYSM 2014

  Posekany, A., Bitto-Nemling, A. & Kastner, G., 13 Oct 2014, The ISBA Bulletin - The official bulletin of the International Society for Bayesian Analysis.

  Publication: Popular science articles (i.e. magazines) › Popular science article

• Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series

  Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 1 Jul 2014.

  Publication: Contribution to conference › Conference poster

• Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series

  Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 2014.

  Publication: Contribution to conference › Conference poster

• 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, Vol. 121).

  Publication: Working/Discussion Paper › Working Paper/Preprint

• 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; No. 121).

  Publication: Working/Discussion Paper › WU Working Paper

  Open Access

  File
  20 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, p. 505 - 511

  Publication: Scientific journal › Journal article › peer-review

  Open Access

  File
  2 Downloads (Pure)
• 2012

  Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models

  Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 1 Nov 2012.

  Publication: Contribution to conference › Conference poster

• Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models

  Kastner, G., Frühwirth-Schnatter, S. & Lopes, H. F., 1 Jul 2012.

  Publication: Contribution to conference › Conference poster

• 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 (ed.). Münster: Landwirtschaftsverlag GmbH, p. 439 - 444

  Publication: Chapter in book/Conference proceeding › Contribution to conference proceedings

• 2011

  Efficient Bayesian Inference for Stochastic Volatility Models

  Kastner, G. & Frühwirth-Schnatter, S., 2011.

  Publication: Contribution to conference › Conference poster

• European Rapeseed and Fossil Diesel: Threshold Cointegration Analysis and Possible Implications

  Ziegelbäck, M. & Kastner, G., 1 Dec 2011.

  Publication: Contribution to conference › Conference poster

• Improving efficiency of Bayesian stochastic volatility estimation by non-centering and interweaving

  Kastner, G. & Frühwirth-Schnatter, S., 1 Feb 2011, Proceedings of the 17th European Young Statisticians Meeting (EYSM). Paulo C. Rodrigues, Miguel de Carvalho (ed.). Lisboa, Portugal: Faculdade de Ciências e Tecnologia Universidade Nova de Lisboa, p. 131 - 135

  Publication: Chapter in book/Conference proceeding › Contribution to conference proceedings