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Items where Author is "Kastner, Gregor"

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Number of items: 10.

Article

Kastner, Gregor (2016) Dealing with Stochastic Volatility in Time Series Using the R Package stochvol. Journal of Statistical Software, 69 (5). pp. 1-30. ISSN 1548-7660

Ziegelbäck, Martin and Kastner, Gregor (2013) Arbitrage hedging in markets for the US lean hogs and the EU live pigs. Agricultural Economics (AGRICECON), 59 (11). pp. 505-511. ISSN 1805-9295

Paper

Feldkircher, Martin and Huber, Florian and Kastner, Gregor (2018) Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? Department of Economics Working Paper Series, 260. WU Vienna University of Economics and Business, Vienna.

Kastner, Gregor (2016) Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions. Research Report Series / Department of Statistics and Mathematics, 129. WU Vienna University of Economics and Business, Vienna.

Huber, Florian and Kastner, Gregor and Feldkircher, Martin (2016) Should I Stay or Should I Go? Bayesian Inference in the Threshold Time Varying Parameter (TTVP) Model. Research Report Series / Department of Statistics and Mathematics, 130. WU Vienna University of Economics and Business, Vienna.

Huber, Florian and Kastner, Gregor and Feldkircher, Martin (2016) Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model. Department of Economics Working Paper Series, 235. WU Vienna University of Economics and Business, Vienna.

Kastner, Gregor and Frühwirth-Schnatter, Sylvia and Lopes, Hedibert Freitas (2016) Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. Research Report Series / Department of Statistics and Mathematics, 128. WU Vienna University of Economics and Business, Vienna.

Kastner, Gregor (2015) Heavy-Tailed Innovations in the R Package stochvol. WU Vienna University of Economics and Business, Vienna.

Kastner, Gregor and Frühwirth-Schnatter, Sylvia (2013) Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. Research Report Series / Department of Statistics and Mathematics, 121. WU Vienna University of Economics and Business, Vienna.

Software

Kastner, Gregor (2016) Efficient Bayesian Interference for Stochastic Volatility. 1.2.3

This list was generated on Tue Jul 16 12:29:26 2019 CEST.