299 citations · 844 across the 14 of their papers we have counts for
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econ.EM2022★ 10 cited
Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!
Luis Gruber, Gregor Kastner
Vector autogressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesi…
econ.EM2018★ 2 cited
Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Florian Huber, Gregor Kastner, Michael Pfarrhofer
We forecast S&P 500 excess returns using a flexible Bayesian econometric state space model with non-Gaussian features at several levels. More precisely, we control for overparamete…