portrait photo

Gregor Kastner

Mag.rer.soc.oec. MMag.rer.nat. Dipl.-Ing. Dr.techn. Gregor Kastner
Telephone:
+43 1 31336 5593
Email:
About me:
I am interested in Bayesian modelling of time series data, mainly through Markov chain Monte Carlo (MCMC) methods. This usually requires high performance computing infrastructures. My current research focus is the efficient Bayesian estimation of multivariate stochastic volatility (SV) and vector autoregressive (VAR) models.
Contact information and photo taken from and editable at WU Directory.

CV

2014
Dr.techn. (JKU Linz, WU Vienna: Applied Mathematics)
2011
Mag.rer.nat. (University of Vienna: Physical Education)
2009
Mag.rer.nat. (Vienna University of Technology, University of Vienna: Computer Science)
2009
Mag.rer.soc.oec. (Vienna University of Technology, University of Vienna: Informatics Managment)
2006
Dipl.-Ing. (Vienna University of Technology, ETH Zurich: Applied Mathematics)

Researcher Identifier

Awards and Honors

2017
Winner: Excellent Teaching Award. WU Vienna
2016-2019
Nominee: Excellent Teaching Award. WU Vienna
2016
Junior Travel Grant, ISBA 2016 World Meeting
2015
Winner: Best Dissertation Award, Austrian Statistical Association
2014
Junior Travel Grant, 5th IMS-ISBA joint meeting MCMSki IV
Junior Travel Grant, ISBA 2014 World Meeting
Promotio sub auspiciis Praesidentis rei publicae
Stipend of Excellence, Federal Ministry of Science, Research and Economy
Testimonial, Governor of Upper Austria
Winner: Best Student Paper Award (for the paper "Dealing with stochastic volatility in time series using the R package stochvol"), R/Finance 2014, Chicago
2012
Junior Travel Grant, ISBA 2012 World Meeting

Classifications

Expertise

  • Bayesian statistics
  • Bayesian vector autoregressions (VARs)
  • Markov chain Monte Carlo methods
  • Shrinkage estimation
  • Statistical modelling of economic time series
  • Stochastic volatility

Activities

Position in jury, advisory board, curatorship
  2019 International Society for Bayesian Analysis (ISBA) - Member of the ISBA Continuing Education Committee
  since 2018 WU Wien - Member of the Task-Force "Zulassungsverfahren & Soziale Dimension"
Position in internal habilitation committee
  2017 WU Wien - Kommissionsmitglied Mittelbau, Schriftführer
Reviewer for scientific organization
  2019 Uppsala University, Department of Statistics - Thesis Opponent
Membership in scientific association
  since 2015 Österreichische Mathematische Gesellschaft (ÖMG)
  since 2015 Foundation for Open Access Statistics (FOAS)
  since 2013 European Network for Business and Industrial Statistics (ENBIS)
  since 2012 Österreichische Statistische Gesellschaft (ÖSG)
  2012-2016 American Statistical Association (ASA)
  since 2011 International Society for Bayesian Analysis (ISBA)
Member of the editorial board
  since 2018 ISBA Bulletin - Associate Editor
  since 2016 Journal of Statistical Software - Assistant Editor
Reviewer for a scientific journal
  since 2018 Studies in Nonlinear Dynamics and Econometrics
  since 2018 Statistical Papers
  since 2018 Journal of the Royal Statistical Society: Series B (Statistical Methodology)
  since 2018 Journal of Econometrics
  since 2018 Journal of Applied Econometrics
  since 2018 Bayesian Analysis
  since 2017 Scientific Reports
  since 2017 Journal of Financial Econometrics
  since 2017 Journal of Computational and Graphical Statistics
  since 2017 Journal of Banking and Finance
  since 2017 Journal of Applied Statistics
  since 2017 International Journal of Computational Economics and Econometrics
  since 2017 Computational Management Science
  since 2017 Communications in Statistics - Simulation and Computation
  since 2016 Technology Transfer and Entrepreneurship
  since 2016 Statistics and Computing
  since 2016 Mathematics and Computers in Simulation
  since 2016 Journal of Business and Economic Statistics
  since 2016 Econometrics and Statistics
  since 2015 Quality and Reliability Engineering International
  since 2015 Journal of Empirical Finance
  since 2015 Applied Stochastic Models in Business and Industry
  since 2014 Statistics and Probability Letters
  since 2014 Journal of Statistical Software
  since 2013 Journal of the American Statistical Association
  since 2012 Computational Statistics & Data Analysis
  since 2011 Communications in Statistics - Theory and Methods
Invitation to Research Seminar
  2019 University of Klagenfurt, Department of Statistics, 06.05. - Talk "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?"
  2019 Erasmus University Rotterdam,Tindbergen Institute, 04.04. - Talk "Efficient Bayesian Inference in High Dimensional Time Series: Examples from Macroeconomics and Finance"
  2018 University of Copenhagen, Department of Economics, 08.08. - Talk "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?"
  2018 TU Wien, Colloquium in Statistics and Mathematical Methods in Economics, 23.05. - Talk "Sparse Bayesian Vector Autoregressions in Huge Dimensions"
  2018 TU Munich / LMU, Oberseminar Finanz- und Versicherungsmathematik, 07.05. - Talk "Bayesian Time-Varying Covariance Estimation in Many Dimensions using Sparse Factor Stochastic Volatility Models"
  2017 UCLouvain, Belgium, Center for Operations Research and Econometrics (CORE), Econometrics and Finance Seminar, 10.03. - Talk "Bayesian Estimation and Prediction of High-Dimensional Dynamic Covariance Matrices"
  2017 Institute for Advanced Studies, Vienna, Austria, Econometrics Research Seminar, 12.01. - Talk “Should I Stay or Should I Go? Bayesian Inference in the Threshold Time Varying Parameter (TTVP) Model”
  2014 Institute for Advanced Studies, Vienna, Austria, Econometrics Research Seminar, 24.06. - Talk "Efficient Bayesian Inference for Univariate and High-Dimensional Stochastic Volatility Models"
  2013 JKU Linz, Austria, Institut für Angewandte Statistik, 08.03. - Talk "About Speeding Up Statistical Computing with Applications in R"
Reviewer for a series
  2018 Proceedings of the 4th Bayesian Young Statisticians Meeting (BAYSM 2018)
  2014 Proceedings of the 2nd Bayesian Young Statisticians Meeting (BAYSM 2014)
Organization scientific meeting (Conference etc.)
  2019 Young Business and Industrial Statisticians (y-BIS) Workshop on Recent Advances in Data Science and Business Analytics - Scientific Program Committee
  2018 BAYESCOMP 2018 - Invited Session Organizer
  2014 2nd Bayesian Young Statisticians Meeting (BAYSM 2014) - Local Organizing Committee / Scientific Program Committee
  2013 18th European Young Statisticians Meeting - International Organizing Committee / Scientific Program Committee
Position in administration
  since 2018 WU Wien - Mitglied der Studienkommission
  since 2017 Department of Finance, Accounting & Statistics - Mitglied der Departmentkonferenz
Research and Teaching Stay
  2018 University of Copenhagen, Department of Economics - Lectures on Stochastic Volatility at a Summer School on Bayesian Econometrics
  2016 Jiangxi University of Finance and Economics - Teaching Stay (March/April '16)
  2015 Jiangxi University of Finance and Economics - Teaching Stay (March/April '15)
  2014 Jiangxi University of Finance and Economics - Teaching Stay (April/May '14)
  2013 The University of Chicago Booth School of Business - Visiting Scholar (July '13)
Attendance scientific meeting (Conference etc.)
  2012 Statistische Woche 2012, September 18-21, 2012, Vienna
  2012 Massively Parallel Computing in Economics and Finance, May 5, 2012, Rotterdam
  2011 European Seminar on Bayesian Econometrics, November 4-5, 2011, Brussels

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)
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)
2013 Ziegelbäck, Martin, Kastner, Gregor. 2013. Arbitrage hedging in markets for the US lean hogs and the EU live pigs. Agricultural Economics. 59 (11), 505-511. open access (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)
2012 Ziegelbäck, Martin, Kastner, Gregor. 2012. European rapeseed and fossil diesel: threshold cointegration analysis and possible implications. In Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e. V., Band 47: Unternehmerische Landwirtschaft zwischen Marktanforderungen und gesellschaftlichen Erwartungen, Hrsg. Alfons Balmann, Thomas Glauben, Marten Graubner, Michael Grings, Norbert Hirschauer, Franziska Schaft, Peter Wagner, 439-444. Münster: Landwirtschaftsverlag GmbH. (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)
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. ISBA World Meeting, Sardinia, Italy, 13.06.-17.06. (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)
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. 2015. Sparse Volatility Modelling for High-Dimensional Time Series. 15th Annual Conference of the European Network for Business and Industrial Statistics (ENBIS-15), Prag, Tschechische Republik, 06.09.-10.09. Invited Talk (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)
  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)
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. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models. 6th CSDA International Conference on Computational and Financial Econometrics (CFE'12), Conference Centre, Oviedo, Spanien, 01.12.-03.12. Invited Talk (Details)
  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)

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)
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)
2014 Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2014. Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series. 12th ISBA World Meeting, Cancún, Mexiko, 14.07.-18.07. (Details)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2014. Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series. 5th IMS-ISBA joint meeting MCMSki IV, Chamonix, Frankreich, 06.01.-08.01. (Details)
2012 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)
  Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2012. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility (SV) Models. ISBA 2012 World Meeting, Kyoto, Japan, 25.06.-29.06. (Details)
2011 Ziegelbäck, Martin, Kastner, Gregor. 2011. European Rapeseed and Fossil Diesel: Threshold Cointegration Analysis and Possible Implications. 51. Jahrestagung der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e. V. (GEWISOLA 2011), Halle (Saale), Deutschland, 28.09.-30.09. (Details)
  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 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)
2013 Kastner, Gregor, Frühwirth-Schnatter, Sylvia. 2013. Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. Research Report Series, Institute for Statistics and Mathematics, Report 121. (Details)

Book or article review

2017 Kastner, Gregor. 2017. Besprechung von Statistik und Intuition. Alltagsbeispiele kritisch hinterfragt, von Katharina Schüller. Internationale Mathematische Nachrichten 235, 46-47. (Details)

Dissertation

2014 Kastner, Gregor. 2014. Efficient Bayesian Inference for Univariate and High-Dimensional Stochastic Volatility Models. Dissertation, Johannes Kepler Universität Linz. (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)
  Kastner, Gregor. 2015. Efficient Bayesian Inference for Univariate and High-Dimensional Stochastic Volatility Models. Brown Bag Seminar, Institute for Statistics and Mathematics, 18.03. (Details)
2014 Kastner, Gregor. 2014. Efficient Bayesian Inference for High-Dimensional Factor Stochastic Volatility Models. Bayesian Econometrics Seminar, WU Vienna University of Economics and Business, 18.06. (Details)
  Kastner, Gregor. 2014. Efficient Bayesian Inference for Univariate and High-Dimensional Stochastic Volatility Models. Defensio Dissertationis, Johannes Kepler Universität Linz, 13.06. (Details)
2013 Kastner, Gregor. 2013. Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. Bayesian Computing Seminar, Wien, 17.05. (Details)
  Kastner, Gregor. 2013. Bayes Goes Finance: A Simulation-Based Approach to Dealing With Heteroskedasticity in Time Series. Diskussionsforum Junge Statistik, Wien, 21.03. (Details)
2011 Kastner, Gregor. 2011. Ideen zur praxisnahen Unterrichtsgestaltung zum Themenbereich Stochastik. Bundesweite Lehrerfortbildung "Angewandte Mathematik" an BAKIPs, Wien, 06.10. (Details)
  Kastner, Gregor. 2011. Vom Experiment zur Wahrscheinlichkeitsverteilung: das Gesetz der großen Zahl zum Angreifen. Bundesweite Lehrerfortbildung "Angewandte Mathematik" an BAKIPs, Wien, 05.10. (Details)
2010 Kastner, Gregor. 2010. Multivariate Generalized Autoregressive Conditional Heteroscedasticity: (Some) Theory and Application. Bayes-Meeting of the Institute for Applied Statistics (IFAS), Johannes Kepler University Linz, Austria, 28.05. (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

2019
High-dimensional statistical learning: New methods to advance economic and sustainability policies (2019-2023) (Details)