Gregor Kastner

Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?

Bayesianische Inferenz

Optimal high-risk investment

Introducing shrinkage in heavy-tailed state space models to predict equity excess returns

Bayesian modeling and clustering for spatio-temporal areal data: An application to Italian unemployment

Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!

Modeling univariate and multivariate stochastic volatility in R with stochvol and factorstochvol

Posterior predictive model checking using formal methods in a spatio-temporal model