Classification: 5707: Time series analysis

Publications

Journal article

2019 Huber, Florian, Kastner, Gregor, Feldkircher, Martin. 2019. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. Journal of Applied Econometrics. 34 (5), 621-640. open access (Details)
  Kastner, Gregor. 2019. Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions. Journal of Econometrics. 210 (1), 98-115. open access (Details)
2017 Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2017. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. Journal of Computational and Graphical Statistics. 26 (4), 905-917. open access (Details)
2016 Kastner, Gregor. 2016. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol. Journal of Statistical Software. 69 (5), 1-30. open access (Details)
  Gschwandtner, Adelina, Hauser, Michael. 2016. Profit persistence and stock returns. Applied Economics 48 (37), 3538-3549. (Details)
2014 Kastner, Gregor, Frühwirth-Schnatter, Sylvia. 2014. Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models. Computational Statistics and Data Analysis. 76 408-423. open access (Details)
2011 Gonzaga, Alex, Hauser, Michael. 2011. A wavelet Whittle estimator of generalized long-memory stochastic volatility. Statistical Methods and Applications 20 23-48. (Details)

Edited book (editorship)

2015 Frühwirth-Schnatter, Sylvia, Bitto-Nemling, Angela, Kastner, Gregor, Posekany, Alexandra, Hrsg. 2015. Bayesian Statistics from Methods to Models and Applications - Research from BAYSM 2014. Switzerland: Springer International Publishing. (Details)

Contribution to conference proceedings

2015 Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2015. Dynamic covariance estimation using sparse Bayesian factor stochastic volatility models. In Proceedings of the 30th International Workshop on Statistical Modelling, Volume 2, Hrsg. Herwig Friedl, Helga Wagner, S. 139-142. Linz: None. (Details)
2014 Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2014. Analysis of Exchange Rates via Multivariate Bayesian Factor Stochastic Volatility Models. In The Contribution of Young Researchers to Bayesian Statistics, Proceedings of BAYSM2013, Springer Proceedings in Mathematics & Statistics, Vol. 63, Hrsg. Ettore Lanzarone and Francesca Ieva, 181-185. Switzerland: Springer. (Details)
2011 Kastner, Gregor, Frühwirth-Schnatter, Sylvia. 2011. Improving efficiency of Bayesian stochastic volatility estimation by non-centering and interweaving. In Proceedings of the 17th European Young Statisticians Meeting (EYSM), Hrsg. Paulo C. Rodrigues, Miguel de Carvalho, 131-135. Lisboa, Portugal: Faculdade de Ciências e Tecnologia Universidade Nova de Lisboa. (Details)

Paper presented at an academic conference or symposium

2019 Kastner, Gregor, Huber, Florian. 2019. Sparse Bayesian Vector Autoregressions in Huge Dimensions. 4th Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Institute for Advanced Studies, Austria, 16.05.-17.05. (Details)
2018 Kastner, Gregor. 2018. Bayesian Inference in Many Dimensions: Examples from Macroeconomics and Finance. Bayesians Statistics in the Big Data Era, Marseille Luminy, France, 26.11.-30.11. Invited Talk (Details)
  Kastner, Gregor. 2018. Dealing with Stochastic Volatility in Time Series Using the R packages stochvol and factorstochvol. 1st International Conference on Data Science in Finance with R (DSF-R), Vienna, Österreich, 13.09.14.09. Invited Talk (Details)
  Huber, Florian, Kastner, Gregor, Feldkircher, Martin. 2018. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. 12th International Conference on Computational and Financial Econometrics (CFE 2018), University of Pisa, Italy, 14.12.-16.12. Invited Talk (Details)
  Feldkircher, Martin, Huber, Florian, Kastner, Gregor. 2018. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? 1st Vienna Workshop on Economic Forecasting, Institute for Advanced Studies, Vienna, Austria, 15.02.-16.02. (Details)
  Kastner, Gregor, Huber, Florian. 2018. Sparse Bayesian Vector Autoregressions in Huge Dimensions. BAYESCOMP 2018, Universitat Pompeu Fabra, Barcelona, Spain, 26.03.-28.03. Invited Talk (Details)
2017 Huber, Florian, Kastner, Gregor, Feldkircher, Martin. 2017. A New Approach Toward Detecting Structural Breaks in Vector Autoregressive Models. 8th European Seminar on Bayesian Econometrcis (ESOBE 2017), Maastricht, Netherlands, 26.10.-27.10. (Details)
  Feldkircher, Martin, Huber, Florian, Kastner, Gregor. 2017. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? NBP Workshop on Forecasting, Narodowy Bank Polski, Poland, 20.11.-21.11. Invited Talk (Details)
  Kastner, Gregor. 2017. Sparse Bayesian time-varying covariance estimation in many dimensions. 61st World Statistics Congress (ISI 2017), Marrakech, Morocco, 16.07.-21.07. Invited Talk (Details)
  Pennerstorfer, Astrid, Reitzinger, Stephanie, Schneider, Ulrike. 2017. The Economic Crisis: Opportunity or Tribulation for the Social Services Sector? ESPAnet Austria 1. Forschungskonferenz Sozialpolitik, Wien, Österreich, 20.04.-21.04. (Details)
2016 Kastner, Gregor. 2016. Sparse Bayesian time-varying covariance estimation in many dimensions. 10th International Conference on Computational and Financial Econometrics (CFE 2016), University of Seville, Spain, 09.12.-11.12. Invited Talk (Details)
  Kastner, Gregor. 2016. Sparse time-varying covariance estimation in many dimensions. 3rd Bayesian Young Statisticians Meeting (BAYSM 2016), Florence, Italy, 19.06.-21.06. (Details)
  Kastner, Gregor. 2016. Sparse time-varying covariance estimation in many dimensions. ISBA World Meeting, Sardinia, Italy, 13.06.-17.06. (Details)
  Hauser, Michael. 2016. Using profit persistence to predict stock returns: An alternative model. CFE 2016 10th International Conference on Computational and Financial Econometrics, University of Seville, Spain, 09.12.-11.12. (Details)
2015 Kastner, Gregor. 2015. Sparse Bayesian Latent Factor Stochastic Volatility Models for Dynamic Covariance Estimation in High-Dimensional Financial Time Series. NBER-NSF Time Series Conference, WU Vienna University of Economics and Business, Österreich, 25.09.-26.09. (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2015. Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series. International Work-Conference on Time Series Analysis (ITISE 2015), Granada, Spanien, 01.07.-03.07. (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2015. Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series. 2nd Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, IHS Wien, Österreich, 21.05-22.05. (Details)
  Kastner, Gregor. 2015. Dealing with Dynamic Covariances in High-Dimensional Time Series: A Bayesian Approach. 9th CSDA International Conference on Computational and Financial Econometrics (CFE 2015), Senate House, University of London, United Kingdom, 12.12.-14.12. Invited Talk (Details)
  Gschwandtner, Adelina, Hauser, Michael. 2015. Profit Persistence and Stock Returns. CFE 2015, London, Großbritannien, 12.12.-14.12. (Details)
  Kastner, Gregor. 2015. Sparse Bayesian Latent Factor Stochastic Volatility Models for Dynamic Covariance Estimation in High-Dimensional Financial Time Series. 6th ESOBE Annual Conference, Study Center Gerzensee, Switzerland, Switzerland, 29.10.-30.10. (Details)
2014 Kastner, Gregor. 2014. Dealing with stochastic volatility in time series using the R package stochvol. R/Finance, University of Illinois at Chicago, Vereinigte Staaten/USA, 16.05.-17.05. (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2014. Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series. 11th German Probability and Statistics Days, Ulm University, Deutschland, 04.03.-07.03. (Details)
  Gonzaga, Alex, Hauser, Michael. 2014. Estimation of Generalized Long-Memory Stochastic Volatility: Whittle and Wavelets. CFE 2014, 8th International Conference on Computational and Financial Econometrics, Pisa, Italien, 06.12.-08.12. (Details)
2013 Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2013. Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series. 7th CSDA International Conference on Computational and Financial Econometrics (CFE’13), Senate House, University of London, Großbritannien, 14.12.-16.12. Invited Talk (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2013. Analysis of Multivariate Financial Time Series via Bayesian Factor Stochastic Volatility Models. y-BIS 2013: Joint Meeting of Young Business and Industrial Statisticians, Mimar Sinan Fine Arts University, Istanbul, Türkei, 19.09.-21.09. Invited Talk (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2013. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models. Joint Statistical Meetings, Montréal, Kanada, 03.08.-08.08. (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2013. Analysis of Exchange Rates via Multivariate Bayesian Factor Stochastic Volatility Models. 1st Bayesian Young Statisticians Meeting (BAYSM 2013), Milano, Italien, 05.06.-06.06. (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2013. Dealing with Stochastic Volatility in (Financial) Time Series: A Bayesian Approach. 1st WU-Workshop in Applied Econometrics (WUWAETRIX), WU Vienna University of Economics and Business, Österreich, 13.05. (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2013. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. 1st Vienna Workshop on High Dimensional Time Series in Macroeconomics and Finance, IHS Wien, Österreich, 02.05.-04.05. (Details)
2012 Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2012. Strategies for Boosting MCMC Estimation of Multivariate Factor Stochastic Volatility (SV) Models. 17th Young Statisticians Meeting, Piran, Slowenien, 12.10.-14.10. Invited Talk (Details)
2011 Kastner, Gregor, Frühwirth-Schnatter, Sylvia. 2011. Improving MCMC Efficiency for Bayesian SV Estimation by Non-Centering and Interweaving. 17th European Young Statisticians Meeting, Universidade Nova de Lisboa, Portugal, 05.09.-09.09. Invited Talk (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia. 2011. Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. 5th CSDA International Conference on Computational and Financial Econometrics (CFE'11), Senate House, University of London, Großbritannien, 17.12.-19.12. (Details)
2010 Kastner, Gregor, Frühwirth-Schnatter, Sylvia. 2010. Efficient Bayesian Inference for Stochastic Volatility Models. 4th CSDA International Conference on Computational and Financial Econometrics (CFE'10), Senate House, University of London, Großbritannien, 10.12.-12.12. (Details)
2009 Gonzaga, Alex, Hauser, Michael. 2009. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility. European Meeting of Statisticians, Toulouse, Frankreich, 20.07.-24.07. (Details)

Poster presented at an academic conference or symposium

2019 Feldkircher, Martin, Huber, Florian, Kastner, Gregor. 2019. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? 10th European Seminar on Bayesian Econometrics (ESOBE 2019), St. Andrews, United Kingdom, 02.09.-03.09. (Details)
2018 Kastner, Gregor, Huber, Florian. 2018. Sparse Bayesian Vector Autoregressions in Huge Dimensions. ISBA World Meeting 2018, Edinburgh, United Kingdom, 24.06.-29.06. (Details)
2017 Kastner, Gregor, Huber, Florian. 2017. Sparse Bayesian Vector Autoregressions in Huge Dimensions. 3rd Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Vienna, Austria, 08.06.-09.06. (Details)
2016 Huber, Florian, Kastner, Gregor, Feldkircher, Martin. 2016. Should I Stay or Should I Go? Bayesian Inference in the Threshold Time Varying Parameter (TTVP) Model. 7th European Seminar on Bayesian Econometrics (ESOBE 2016), Venice, Italy, 27.10.-28.10. (Details)
  Hauser, Michael. 2016. Using profit persistence to predict stock returns: An alternative model. ITISE 2016 International Work-Conference on Time Series Analysis, Granada, Spain, 27.06.-29.06. (Details)
2015 Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2015. Dynamic covariance estimation using sparse Bayesian factor stochastic volatility models. 30th International Workshop on Statistical Modelling (IWSM 2015), Linz, Österreich, 06.07.-10.07. (Details)
2012 Bitto, Angela, Frühwirth-Schnatter, Sylvia. 2012. Time-Varying Parameter Models -Achieving Shrinkage and Variable Selection. European Seminar on Bayesian Econometrics (ESOBE), Wien, Wien, Österreich, 01.11-02.11. (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2012. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models. European Seminar on Bayesian Econometrics (ESOBE), Wien, Österreich, 01.11.-02.11. (Details)
2011 Kastner, Gregor, Frühwirth-Schnatter, Sylvia. 2011. Efficient Bayesian Inference for Stochastic Volatility Models. Workshop on Bayesian Inference for Latent Gaussian Models with Applications, Universität Zürich, Schweiz, 02.02.-05.02. (Details)

Working/discussion paper, preprint

2017 Huber, Florian, Kastner, Gregor, Feldkircher, Martin. 2017. A New Approach Toward Detecting Structural Breaks in Vector Autoregressive Models. (Details)
  Feldkircher, Martin, Huber, Florian, Kastner, Gregor. 2017. Sophisticated and Small Versus Simple and Sizeable: When Does it Pay Off to Introduce Drifting Coefficients in Bayesian VARs? (Details)
  Kastner, Gregor, Huber, Florian. 2017. Sparse Bayesian Vector Autoregressions in Huge Dimensions. (Details)
2016 Bitto, Angela, Frühwirth-Schnatter, Sylvia. 2016. Achieving Shrinkage in a Time-Varying Parameter Model Framework. (Details)
  Kastner, Gregor. 2016. Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions. (Details)
2015 Kastner, Gregor. 2015. Heavy-Tailed Innovations in the R Package stochvol. R Package Vignette. open access (Details)
  Kastner, Gregor. 2015. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol. R Package Vignette. (Details)

Magazine/newspaper article

2019 Hosszejni, Darjus, Kastner, Gregor. 2019. stochvol 2.0.0 - Stochastic volatility models with leverage in R. The ISBA Bulletin - The official bulletin of the International Society for Bayesian Analysis, 26.03.19 (Details)
2014 Posekany, Alexandra, Bitto-Nemling, Angela, Kastner, Gregor. 2014. News from BAYSM 2014. The ISBA Bulletin - The official bulletin of the International Society for Bayesian Analysis , 13.10.14 (Details)

Unpublished lecture

2018 Kastner, Gregor. 2018. Efficient Bayesian Estimation of Univariate and Multivariate Stochastic Volatility Models. Summer School in Bayesian Econometrics, University of Kopenhagen, 10.08.18 (Details)
  Kastner, Gregor. 2018. Ökonometrie zwischen Frequentismus und Bayes: Die Bayesianische Perspektive. SOLVXII - Debatten in der Ökonomie, WU Wien, 31.05.18 (Details)
2017 Kastner, Gregor. 2017. Should I Stay or Should I Go? Bayesian Inference in the Threshold Time Varying Parameter (TTVP) Model. Brown Bag Seminar, Institute for Statistics and Mathematics, 08.03. (Details)
2015 Kastner, Gregor. 2015. Bayesian Estimation and Prediction of High-Dimensional Dynamic Covariance Matrices. Brown Bag Seminar, Institute for Statistics and Mathematics, 18.11. (Details)
2013 Kastner, Gregor. 2013. Bayes Goes Finance: A Simulation-Based Approach to Dealing With Heteroskedasticity in Time Series. Diskussionsforum Junge Statistik, Wien, 21.03. (Details)

Software

2017 Kastner, Gregor. 2017. stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models. open access (Details)
  Kastner, Gregor. 2017. factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models. (Details)

Projects

2000
Tax revenue forecasting and estimation in Austria (2000-2002) (Details)
Multi-subject longitudinal models with random coefficients and patterned correlation structure (2000-2003) (Details)
Clustering (financial) time series according to their predictability by automatically chosen predictors (2000-2002) (Details)
1999
Forecasting foreign exchange rates using high frequency data (1999-2002) (Details)
1997
Adaptive modelling in economics and management science (1997-2003) (Details)
Multiperiod asset returns (1997-1998) (Details)
Aggregation problems in the context of value-at-risk (1997-1998) (Details)
1994
Estimation and testing the multifactor Cox-Ingersoll-Ross model of the term structure (1994-1999) (Details)
1992
Portfolio selection under state-dependent return distributions (1992-1999) (Details)
  • Geyer, Alois (Details)
  • Hauser, Michael (Details)
  • Hosszejni, Darjus (Details)
  • Kastner, Gregor (Details)
  • Mayerhofer, Wolfgang (Former researcher)
  • Pamminger, Christoph (Former researcher)