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Gregor Kastner · Study

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Gregor Kastner

5 works· latest 2021· 2 institutionscluster: provisionalORCID 0000-0002-8237-8271

h-index5

i105

Citations354

Works here5

16

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21

Most cited in this library

Dealing with Stochastic Volatility in Time Series Using the R Package stochvol2016 · 135 citations
Sparse Bayesian time-varying covariance estimation in many dimensions2018 · 111 citations
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol2021 · 45 citations
Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models2019 · 36 citations
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol2019 · 27 citations

Works

5 shown

Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol

Journal of Statistical Software·2021·2 authors·Open access

45citations

Dealing with Stochastic Volatility in Time Series Using the R Package stochvol

RePEc: Research Papers in Economics·2019·1 author·preprint·Open access

27citations

Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models

Journal of Applied Econometrics·2019·3 authors·Open access

36citations

Sparse Bayesian time-varying covariance estimation in many dimensions

Journal of Econometrics·2018·1 author·Open access

111citations

Dealing with Stochastic Volatility in Time Series Using the R Package stochvol

Journal of Statistical Software·2016·1 author·Open access

135citations