299 citations · 844 across the 14 of their papers we have counts for
3 papers · 1 filter
Sparse Bayesian time-varying covariance estimation in many dimensions
Gregor Kastner
We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stocha…
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
Florian Huber, Gregor Kastner, Martin Feldkircher
This paper proposes a straightforward algorithm to carry out inference in large time-varying parameter vector autoregressions (TVP-VARs) with mixture innovation components for each…
Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
Gregor Kastner, Sylvia Frühwirth-Schnatter, Hedibert Freitas Lopes
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two inte…