Gregor Kastner : Citation Profile

9

H index

9

i10 index

530

Citations

RESEARCH PRODUCTION:

12

Articles

21

Papers

RESEARCH ACTIVITY:

   14 years (2011 - 2025). See details.
   Cites by year: 37
   Journals where Gregor Kastner has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 24 (4.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka1304
   Updated: 2025-12-27    RAS profile: 2025-11-13    
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Relations with other researchers

Works with:

Huber, Florian (4)

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 (115)

Pfarrhofer, Michael (62)

Koop, Gary (34)

Feldkircher, Martin (24)

Hauzenberger, Niko (21)

Chan, Joshua (18)

Nguyen, Hoang (16)

Mitchell, James (15)

Piribauer, Philipp (14)

Marcellino, Massimiliano (13)

Boeck, Maximilian (13)

Cites to:

Koop, Gary (31)

Korobilis, Dimitris (29)

Shephard, Neil (24)

Huber, Florian (20)

Nakajima, Jouchi (18)

Feldkircher, Martin (13)

Rossi, Peter (13)

Clark, Todd (13)

Primiceri, Giorgio (11)

Omori, Yasuhiro (11)

Strachan, Rodney (10)

Main data

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.org13
Department of Economics Working Papers / Vienna University of Economics and Business, Department of Economics2
Department of Economics Working Paper Series / WU Vienna University of Economics and Business2

Recent works citing Gregor Kastner (2025 and 2024)

YearTitle of citing document
2024High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks. (2024). Pfarrhofer, Michael ; Stelzer, Anna. In: Papers. RePEc:arx:papers:1912.03158.

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2024Bayesian Neural Networks for Macroeconomic Analysis. (2024). Marcellino, Massimiliano ; Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2211.04752.

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

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2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2024Time-Varying Identification of Monetary Policy Shocks. (2024). 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. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2025The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models. (2025). Fruhwirth-Schnatter, Sylvia ; Knaus, Peter. In: Papers. RePEc:arx:papers:2312.10487.

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2024Selective linear segmentation for detecting relevant parameter changes. (2024). Houndetoungan, Aristide ; Dufays, Arnaud ; Coen, Alain. In: Papers. RePEc:arx:papers:2402.05329.

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2024Nowcasting with Mixed Frequency Data Using Gaussian Processes. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Hauzenberger, Niko ; Stelzer, Anna. In: Papers. RePEc:arx:papers:2402.10574.

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2025Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024Bayesian modelling of VAR precision matrices using stochastic block networks. (2024). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Scheckel, Tobias. In: Papers. RePEc:arx:papers:2407.16349.

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2025Fast and Efficient Bayesian Analysis of Structural Vector Autoregressions Using the R Package bsvars. (2025). Wo, Tomasz. In: Papers. RePEc:arx:papers:2410.15090.

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2025Zero-Coupon Treasury Rates and Returns using the Volatility Index. (2025). Sarantsev, Andrey ; Park, Ji Hyun. In: Papers. RePEc:arx:papers:2411.03699.

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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). Marcellino, Massimiliano ; Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2412.07649.

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2025An Adaptive Moving Average for Macroeconomic Monitoring. (2025). Goulet Coulombe, Philippe ; Klieber, Karin. 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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2025A Bayesian Gaussian Process Dynamic Factor Model. (2025). Pfarrhofer, Michael ; Chernis, Tony ; Hauzenberger, Niko ; Mumtaz, Haroon. In: Papers. RePEc:arx:papers:2509.04928.

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2025Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference. (2025). Woźniak, Tomasz ; Uzeda, Luis ; Lütkepohl, Helmut ; Woniak, Tomasz ; Shang, Fei ; Ltkepohl, Helmut. In: Staff Working Papers. RePEc:bca:bocawp:25-14.

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2024Covered interest parity: a forecasting approach to estimate the neutral band. (2024). Hernandez, Juan. In: BIS Working Papers. RePEc:bis:biswps:1206.

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2024Log‐density gradient covariance and automatic metric tensors for Riemann manifold Monte Carlo methods. (2024). Kleppe, Tore Selland. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:3:p:1206-1229.

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2024Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods. (2024). Koop, Gary ; Huber, Florian ; Gary, Koop ; Florian, Huber ; 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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2025Switching the leverage switch. (2025). Marn, Juan Miguel ; Romero, Eva ; Lopes, Mara Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47005.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081.

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2024A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series. (2024). Liu, Yixuan ; Meyer, Renate ; Lee, Jeongeun ; 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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2025Covered interest parity: A forecasting approach to estimate the neutral band. (2025). Hernandez, Juan ; Hernndez, Juan R. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000719.

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2025Machine learning the macroeconomic effects of financial shocks. (2025). Marcellino, Massimiliano ; Hauzenberger, Niko ; Huber, Florian ; Klieber, Karin. In: Economics Letters. RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525000977.

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2025Bayesian neural networks for macroeconomic analysis. (2025). Marcellino, Massimiliano ; Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s030440762400188x.

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2025Flexible and Robust Particle Tempering for State Space Models. (2025). Kohn, Robert ; Gunawan, David ; Tran, Minh Ngoc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:35-55.

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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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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2024Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates. (2024). Poon, Aubrey ; Mitchell, James ; 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). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024Should I open to forecast? Implications from a multi-country unobserved components model with sparse factor stochastic volatility. (2024). Wu, Ping. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:903-917.

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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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2025The time-varying Multivariate Autoregressive Index model. (2025). Guardabascio, Barbara ; Cubadda, Gianluca ; Grassi, Stefano. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:175-190.

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2025Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2025). Rossini, Luca ; Pfarrhofer, Michael ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:361-376.

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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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2025Comprehensive analysis of the crypto-assets market through multivariate analysis, clustering, and wavelet decomposition. (2025). Sosa, Andrs ; Moreno, Leonardo ; Brida, Juan Gabriel ; Lvarez, Emiliano. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:660:y:2025:i:c:s0378437124008409.

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2025Bayesian Belief Networks: Redefining wholesale electricity price modelling in high penetration non-firm renewable generation power systems. (2025). Mahmoud, Thair S ; Maticka, Martin J. In: Renewable Energy. RePEc:eee:renene:v:239:y:2025:i:c:s096014812402113x.

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2025Mexican White Corn Spot Price Hedging with US Agricultural Futures Portfolios Using the Surplus Efficient Frontier. (2025). de la Torre-Torres, Oscar V ; Lpez-Torres, Rodolfo A ; de la Cruz, Mara ; Lvarez-Garca, Jos. In: Agriculture. RePEc:gam:jagris:v:15:y:2025:i:17:p:1862-:d:1738714.

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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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2025Creating Tail Dependence by Rough Stochastic Correlation Satisfying a Fractional SDE; An Application in Finance. (2025). Mrkus, Lszl ; Kumar, Ashish ; Darougi, Amina. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2072-:d:1685378.

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

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2024The non-linear impact of monetary policy on shifts in economic policy uncertainty: evidence from the United States of America. (2024). Dima, Tefana Maria. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:3:d:10.1007_s10663-024-09618-y.

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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). Byrne, Joseph ; Vitenu-Sackey, Prince Asare. In: Environmental & Resource Economics. RePEc:kap:enreec:v:87:y:2024:i:3:d:10.1007_s10640-023-00831-0.

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2025(A)Synchronous Housing Markets of Global Cities. (2025). Bhatt, Vipul ; Kishor, Kundan N. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:71:y:2025:i:2:d:10.1007_s11146-022-09903-2.

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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 ; Majon, Blessings. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:24-02.

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

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2024The Time-Varying Multivariate Autoregressive Index Model. (2024). Guardabascio, Barbara ; Cubadda, Gianluca ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:571.

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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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2024Predicting Tail-Risks for the Italian Economy. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Tornese, Tommaso ; Boeck, Maximilian. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:20:y:2024:i:3:d:10.1007_s41549-025-00106-1.

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2025Estimation and specification test for diffusion models with stochastic volatility. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01652-z.

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2024Locally time-varying parameter regression. (2024). He, Zhongfang. In: Econometric Reviews. RePEc:taf:emetrv:v:43:y:2024:i:5:p:269-300.

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2025On the Correlations in Linearized Multivariate Stochastic Volatility Models. (2025). Moussa, Karim. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250021.

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2025A note on the determinants of non‐fungible tokens returns. (2025). Papapanagiotou, Georgios ; Panagiotidis, Theodore. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3201-3211.

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2024Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture. (2024). , Frank. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:4:p:697-704.

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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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2024Investigating the effect of green finance initiatives on renewable energy penetration in Europe. (2024). Szendrei, Tibor ; Ersoy, Erkal ; Mohammed, Mustapha ; Eross, Andrea. In: Accountancy, Economics, and Finance Working Papers. RePEc:zbw:hwuaef:299236.

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Works by Gregor Kastner:

YearTitleTypeCited
2016Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models In: Business and Economics Working Papers.
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2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models.(2017) In: Papers.
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This paper has nother version. Agregated cites: 49		paper
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
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
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]		paper54
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: 54		article
2019Sparse Bayesian vector autoregressions in huge dimensions In: Papers.
[Full Text][Citation analysis]		paper53
2020Sparse Bayesian vector autoregressions in huge dimensions.(2020) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 53		article
2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models In: Papers.
[Full Text][Citation analysis]		paper211
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: 211		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.
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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]		paper4
2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol In: Papers.
[Full Text][Citation analysis]		paper18
2019Dealing with Stochastic Volatility in Time Series Using the R Package stochvol In: Papers.
[Full Text][Citation analysis]		paper88
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: 88		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
2025Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!.(2025) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 1		article
2025A note on simulation methods for the Dirichlet-Laplace prior In: Papers.
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2013Arbitrage hedging in markets for the US lean hogs and the EU live pigs In: Agricultural Economics.
[Full Text][Citation analysis]		article2
2025A criterion for assessing obstacle-induced environmental complexity in multi-robot coverage exploration In: PLOS ONE.
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2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model In: Department of Economics Working Papers.
[Full Text][Citation analysis]		paper4
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: 4		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2024Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions? In: Journal of Forecasting.
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