Gregor Kastner : Citation Profile

9

H index

9

i10 index

499

Citations

RESEARCH PRODUCTION:

10

Articles

18

Papers

RESEARCH ACTIVITY:

   14 years (2011 - 2025). See details.
   Cites by year: 35
   Journals where Gregor Kastner has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 22 (4.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka1304
   Updated: 2025-04-19    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Huber, Florian (3)

Rezitis, Anthony (3)

Feldkircher, Martin (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregor Kastner.

Is cited by:

Huber, Florian (110)

Pfarrhofer, Michael (58)

Koop, Gary (34)

Feldkircher, Martin (21)

Hauzenberger, Niko (21)

Chan, Joshua (18)

Nguyen, Hoang (16)

Mitchell, James (15)

Piribauer, Philipp (14)

Boeck, Maximilian (12)

GUPTA, RANGAN (12)

Cites to:

Koop, Gary (27)

Korobilis, Dimitris (27)

Shephard, Neil (24)

Nakajima, Jouchi (16)

Huber, Florian (15)

Rossi, Peter (13)

Clark, Todd (13)

Omori, Yasuhiro (12)

Feldkircher, Martin (10)

Sims, Christopher (8)

Primiceri, Giorgio (8)

Main data

Production by document typepaperarticle20112012201320142015201620172018201920202021202220232024202502.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published2011201220132014201520162017201820192020202120222023202420250102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2011201220132014201520162017201820192020202120222023202420250255075100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 9Most cited documents12345678910110100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040510h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Gregor Kastner has published?

Journals with more than one article published# docs
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org12
Department of Economics Working Paper Series / WU Vienna University of Economics and Business2
Department of Economics Working Papers / Vienna University of Economics and Business, Department of Economics2

Recent works citing Gregor Kastner (2025 and 2024)

Year  ↓Title of citing document  ↓
2041Biofuels: review of policies and impacts. (2041). Krištoufek, Ladislav ; Janda, Karel ; Zilberman, David. In: CUDARE Working Papers. RePEc:ags:ucbecw:120415.

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2024The international effects of central bank information shocks. (2019). Stelzer, Anna ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1912.03158.

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2024Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2024Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883.

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2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Wo, Tomasz ; Uzeda, Luis ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024Bundle Choice Model with Endogenous Regressors: An Application to Soda Tax. (2024). Sun, Tao. In: Papers. RePEc:arx:papers:2412.05794.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2024Machine Learning the Macroeconomic Effects of Financial Shocks. (2024). Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko ; Marcellino, Massimiliano. In: Papers. RePEc:arx:papers:2412.07649.

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2025An Adaptive Moving Average for Macroeconomic Monitoring. (2025). Klieber, Karin ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2501.13222.

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2025Time-Varying Identification of Structural Vector Autoregressions. (2025). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2502.19659.

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2025Minnesota BART. (2025). Carvalho, Carlos M ; Lima, Pedro A ; Herren, Andrew ; Lopes, Hedibert F. In: Papers. RePEc:arx:papers:2503.13759.

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2024.

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2024Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods. (2024). Florian, Huber ; Gary, Koop ; Niko, Hauzenberger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:201-225:n:2.

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2024A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series. (2024). Liu, Yixuan ; Meyer, Renate ; Lee, Jeong Eun ; Kirch, Claudia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:199:y:2024:i:c:s016794732400094x.

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2024Non-linear dimension reduction in factor-augmented vector autoregressions. (2024). Klieber, Karin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002063.

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2024Forecasting oil prices: Can large BVARs help?. (2024). Sun, Chuanwang ; Zhang, BO ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005139.

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2024A Bayesian approach for the determinants of bitcoin returns. (2024). Stengos, Thanasis ; Papapanagiotou, Georgios ; Panagiotidis, Theodore. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005549.

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2024Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates. (2024). Mitchell, James ; Poon, Aubrey ; McIntyre, Stuart ; Koop, Gary. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:626-640.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024A Bayesian Dirichlet auto-regressive moving average model for forecasting lead times. (2024). Weiss, Robert E ; Brusch, Kai Thomas ; Katz, Harrison. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1556-1567.

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2024A loss discounting framework for model averaging and selection in time series models. (2024). Griffin, Jim E ; Bernaciak, Dawid. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1721-1733.

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2024Unraveling the causal impact: Oil price uncertainty on firms’ productivity in China. (2024). Yang, Xin ; Liu, Xinheng ; Pan, Sishi ; Huang, Chuangxia. In: Resources Policy. RePEc:eee:jrpoli:v:96:y:2024:i:c:s0301420724005853.

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2024Navigating the “twin titans” of global manufacturing: The impact of US and China on industrial production forecasting in G20 nations. (2024). Ahmad, Wasim ; Kumar, Utkarsh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002610.

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2024Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension. (2024). Laurini, Márcio ; Coli, Joo Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:1:p:5-:d:1341433.

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2024Bayesian Inference for Long Memory Stochastic Volatility Models. (2024). Laurini, Márcio ; Chaim, Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:4:p:35-:d:1530826.

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2024Characterization and Prediction of the Ghana Stock Exchange Composite Index Utilizing Bayesian Stochastic Volatility Models. (2024). Ohene-Obeng, Kwesi A ; Tweneboah, Osei K ; Mariani, Maria C. In: Risks. RePEc:gam:jrisks:v:13:y:2024:i:1:p:3-:d:1556848.

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2025Inflation forecasting in turbulent times. (2025). Kunst, Robert ; Sgner, Leopold ; Koch, Sebastian P ; Hlouskova, Jaroslava ; Fortin, Ines ; Ertl, Martin. In: Empirica. RePEc:kap:empiri:v:52:y:2025:i:1:d:10.1007_s10663-024-09633-z.

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2024The Macroeconomic Impact of Global and Country-Specific Climate Risk. (2024). Vitenu-Sackey, Prince Asare ; Byrne, Joseph P. In: Environmental & Resource Economics. RePEc:kap:enreec:v:87:y:2024:i:3:d:10.1007_s10640-023-00831-0.

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2024A note on the determinants of NFTs returns. (2024). Papapanagiotou, Georgios ; Panagiotidis, Theodore. In: Discussion Paper Series. RePEc:mcd:mcddps:2024_02.

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2024Approximate Factor Models with a Common Multiplicative Factor for Stochastic Volatility. (2024). Leon-Gonzalez, Roberto ; Majoni, Blessings. In: Working Paper series. RePEc:rim:rimwps:24-04.

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2024Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets. (2024). Bogobska, Joanna ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00589-w.

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2024Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks. (2024). Huber, Florian ; Koop, Gary. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:7:p:1301-1320.

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2024Forecasts with Bayesian vector autoregressions under real time conditions. (2024). Pfarrhofer, Michael. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:771-801.

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Works by Gregor Kastner:

Year  ↓Title  ↓Type  ↓Cited  ↓
2021On the joint volatility dynamics in international dairy commodity markets In: Australian Journal of Agricultural and Resource Economics.
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2021On the joint volatility dynamics in international dairy commodity markets.(2021) In: Australian Journal of Agricultural and Resource Economics.
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This paper has nother version. Agregated cites: 2		article
2011EUROPEAN RAPESEED AND FOSSIL DIESEL: THRESHOLD COINTEGRATION ANALYSIS AND POSSIBLE IMPLICATIONS In: 51st Annual Conference, Halle, Germany, September 28-30, 2011.
[Full Text][Citation analysis]		paper12
2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models In: Papers.
[Full Text][Citation analysis]		paper46
2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models In: Papers.
[Full Text][Citation analysis]		paper14
2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models.(2018) In: Working Papers in Economics.
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This paper has nother version. Agregated cites: 14		paper
2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model.(2016) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model.(2016) In: Department of Economics Working Paper Series.
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This paper has nother version. Agregated cites: 14		paper
2019Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models.(2019) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 14		article
2017Sparse Bayesian time-varying covariance estimation in many dimensions In: Papers.
[Full Text][Citation analysis]		paper52
2019Sparse Bayesian time-varying covariance estimation in many dimensions.(2019) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 52		article
2019Sparse Bayesian vector autoregressions in huge dimensions In: Papers.
[Full Text][Citation analysis]		paper51
2020Sparse Bayesian vector autoregressions in huge dimensions.(2020) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 51		article
2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models In: Papers.
[Full Text][Citation analysis]		paper200
2014Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models.(2014) In: Computational Statistics & Data Analysis.
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This paper has nother version. Agregated cites: 200		article
2024Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? In: Papers.
[Full Text][Citation analysis]		paper18
2018Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?.(2018) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 18		paper
2018Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?.(2018) In: Department of Economics Working Paper Series.
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This paper has nother version. Agregated cites: 18		paper
2019Introducing shrinkage in heavy-tailed state space models to predict equity excess returns In: Papers.
[Full Text][Citation analysis]		paper0
2025Introducing shrinkage in heavy-tailed state space models to predict equity excess returns.(2025) In: Empirical Economics.
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This paper has nother version. Agregated cites: 0		article
2019Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage In: Papers.
[Full Text][Citation analysis]		paper3
2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol In: Papers.
[Full Text][Citation analysis]		paper16
2019Dealing with Stochastic Volatility in Time Series Using the R Package stochvol In: Papers.
[Full Text][Citation analysis]		paper83
2016Dealing with Stochastic Volatility in Time Series Using the R Package stochvol.(2016) In: Journal of Statistical Software.
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This paper has nother version. Agregated cites: 83		article
2021On the joint volatility dynamics in dairy markets In: Papers.
[Full Text][Citation analysis]		paper0
2025Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends! In: Papers.
[Full Text][Citation analysis]		paper1
In: .
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2024Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions? In: Journal of Forecasting.
[Full Text][Citation analysis]		article0

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