EconBase
← All authors

Gregor Kastner

Vienna University of Economics and Business (from arXiv:1901.11491, 2019) · ORCID · OpenAlex

18 papers in scope · 15 published · 9 on the econ.EM arXiv · 728 citations · h-index 8 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Sylvia Frühwirth-Schnatter
  2. Hedibert F. Lopes
  3. Florian Huber
  4. Darjus Hosszejni
  5. Martin Feldkircher
  6. Joshua C. C. Chan
  7. Peter Knaus
  8. Bruno P. C. Levy
  9. Sebastian Ankargren
  10. Paulina Jonéus
  11. Giorgio Calzolari
  12. Christian Mücher
  13. Gary Koop
  14. Tomasz Woźniak
  15. Niko Hauzenberger
  16. Luis Gruber
  17. Fei Shang
  18. Benjamin Poignard
  19. Manabu Asai
  20. Roxana Halbleib

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(10 of 18)

Correction
published2025 · Journal of the American Statistical Association
with Luis Gruber, Anirban Bhattacharya, Debdeep Pati, Natesh S. Pillai, David B. Dunson
Journal of the American Statistical Association
A criterion for assessing obstacle-induced environmental complexity in multi-robot coverage exploration
published2025 · PLoS ONE · 1 citations
with Khalil Al-Rahman Youssefi, Reza Abbaszadeh Darban, Wilfried Elmenreich
PLoS ONE
Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!
published2025 · International Journal of Forecasting · 10 citations · first circulated 2022
with Luis Gruber
Paper profile International Journal of Forecasting arXiv:2206.04902
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?
published2024 · Journal of Forecasting · 6 citations
with Martin Feldkircher, Luis Gruber, Florian Huber
Journal of Forecasting
Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
published2023 · Empirical Economics
with Florian Huber, Michael Pfarrhofer
Empirical Economics
Bayesian modeling and clustering for spatio-temporal areal data: An application to Italian unemployment
published2022 · Spatial Statistics · 9 citations
with Alexander Mozdzen, Andrea Cremaschi, Annalisa Cadonna, Alessandra Guglielmi
Spatial Statistics
On the joint volatility dynamics in international dairy commodity markets*
published2021 · Australian Journal of Agricultural and Resource Economics · 5 citations
with Anthony N. Rezitis
Australian Journal of Agricultural and Resource Economics
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
published2021 · Journal of Statistical Software · 45 citations · first circulated 2019
with Darjus Hosszejni
Paper profile Journal of Statistical Software arXiv:1906.12123
Sparse Bayesian vector autoregressions in huge dimensions
published2020 · Journal of Forecasting · 84 citations · first circulated 2017
with Florian Huber
Paper profile Journal of Forecasting arXiv:1704.03239
Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
published2019 · Springer proceedings in mathematics & statistics · 13 citations
with Darjus Hosszejni
Paper profile Springer proceedings in mathematics & statistics arXiv:1901.11491
Sparse Bayesian time-varying covariance estimation in many dimensions
published2018 · Journal of Econometrics · 111 citations · first circulated 2016
Paper profile Journal of Econometrics arXiv:1608.08468
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
working paper2017 · arXiv
with Martin Feldkircher, Florian Huber
Paper profile arXiv arXiv:1711.00564
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
working paper2016 · arXiv
with Florian Huber, Martin Feldkircher
Paper profile arXiv arXiv:1607.04532
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
published2016 · Journal of Statistical Software · 130 citations · first circulated 2015
Paper profile Journal of Statistical Software arXiv:1906.12134
Arbitrage hedging in markets for the US lean hogs and the EU live pigs
published2013 · Agricultural Economics (Zemědělská ekonomika) · 5 citations
with Martin Ziegelback
Agricultural Economics (Zemědělská ekonomika)
Analysis of Exchange Rates via Multivariate Bayesian Factor Stochastic Volatility Models
published2013 · Springer proceedings in mathematics & statistics · 8 citations
with Sylvia Frühwirth-Schnatter, Hedibert F. Lopes
Springer proceedings in mathematics & statistics
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
published2013 · Computational Statistics & Data Analysis · 301 citations
with Sylvia Frühwirth-Schnatter
Paper profile Computational Statistics & Data Analysis arXiv:1706.05280
Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models
working paper2012 · arXiv
with Sylvia Frühwirth-Schnatter, Hedibert F. Lopes
Paper profile arXiv arXiv:1602.08154

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.