|
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 (CFE13), 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) |
|
