Gregor Kastner

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
stochvol	2023-11-26	Software
factorstochvol	2023-11-24	Software
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol Journal of Statistical Software	2021-01-01	Paper
Sparse Bayesian time-varying covariance estimation in many dimensions Journal of Econometrics	2019-05-01	Paper
Sparse Bayesian time-varying covariance estimation in many dimensions Journal of Econometrics	2019-04-30	Paper
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models Computational Statistics and Data Analysis	2018-11-23	Paper
Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models Journal of Computational and Graphical Statistics	2017-10-02	Paper
Dealing with Stochastic Volatility in Time Series Using theRPackagestochvol Journal of Statistical Software	2016-01-01	Paper
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models Computational Statistics and Data Analysis	2014-08-01	Paper

Research outcomes over time

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