Gregor Kastner

850 total citations
17 papers, 419 citations indexed

About

Gregor Kastner is a scholar working on Finance, Statistics and Probability and General Economics, Econometrics and Finance. According to data from OpenAlex, Gregor Kastner has authored 17 papers receiving a total of 419 indexed citations (citations by other indexed papers that have themselves been cited), including 11 papers in Finance, 6 papers in Statistics and Probability and 5 papers in General Economics, Econometrics and Finance. Recurrent topics in Gregor Kastner's work include Financial Risk and Volatility Modeling (10 papers), Statistical Methods and Inference (6 papers) and Monetary Policy and Economic Impact (5 papers). Gregor Kastner is often cited by papers focused on Financial Risk and Volatility Modeling (10 papers), Statistical Methods and Inference (6 papers) and Monetary Policy and Economic Impact (5 papers). Gregor Kastner collaborates with scholars based in Austria, Germany and Italy. Gregor Kastner's co-authors include Sylvia Frühwirth‐Schnatter, Florian Huber, Maximilian Röglinger, Anthony N. Rezitis, Alessandra Guglielmi, Martin Feldkircher and Leopold Sögner and has published in prestigious journals such as Journal of Econometrics, Journal of Statistical Software and International Journal of Forecasting.

In The Last Decade

Gregor Kastner

17 papers receiving 397 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Gregor Kastner Austria	7	229	177	162	81	59	17	419
Serge Darolles France	13	213 0.9×	348 2.0×	89 0.5×	76 0.9×	19 0.3×	43	454
Sessi Tokpavi France	6	176 0.8×	199 1.1×	64 0.4×	24 0.3×	120 2.0×	17	435
Sebastiano Manzan United States	14	363 1.6×	223 1.3×	170 1.0×	37 0.5×	84 1.4×	36	548
Wendun Wang Netherlands	10	220 1.0×	64 0.4×	153 0.9×	67 0.8×	23 0.4×	24	428
Jin Seo Cho South Korea	10	439 1.9×	155 0.9×	165 1.0×	105 1.3×	41 0.7×	34	638
Edoardo Otranto Italy	13	467 2.0×	356 2.0×	154 1.0×	24 0.3×	47 0.8×	40	579
Greg Tkacz Canada	11	299 1.3×	188 1.1×	229 1.4×	22 0.3×	40 0.7×	25	490
Sylvia Kaufmann Austria	14	330 1.4×	221 1.2×	263 1.6×	65 0.8×	80 1.4×	33	571
Christian Y. Robert France	12	225 1.0×	251 1.4×	44 0.3×	83 1.0×	44 0.7×	61	498
Rand Kwong Yew Low Australia	11	305 1.3×	309 1.7×	79 0.5×	13 0.2×	21 0.4×	30	480

Countries citing papers authored by Gregor Kastner

Since Specialization

Citations

This map shows the geographic impact of Gregor Kastner's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Gregor Kastner with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Gregor Kastner more than expected).

Fields of papers citing papers by Gregor Kastner

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Gregor Kastner. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Gregor Kastner. The network helps show where Gregor Kastner may publish in the future.

Co-authorship network of co-authors of Gregor Kastner

This figure shows the co-authorship network connecting the top 25 collaborators of Gregor Kastner. A scholar is included among the top collaborators of Gregor Kastner based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Gregor Kastner. Gregor Kastner is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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17 of 17 papers shown

Kastner, Gregor, et al.. (2025). Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. International Journal of Forecasting. 41(4). 1589–1619. 1 indexed citations

Feldkircher, Martin, et al.. (2024). Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?. Journal of Forecasting. 43(6). 2126–2145. 3 indexed citations

Sögner, Leopold, et al.. (2023). Optimal High-Risk Investment. SSRN Electronic Journal. 1 indexed citations

Guglielmi, Alessandra, et al.. (2022). Bayesian modeling and clustering for spatio-temporal areal data: An application to Italian unemployment. arXiv (Cornell University). 4 indexed citations

Kastner, Gregor, et al.. (2021). Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. Journal of Statistical Software. 100(12). 22 indexed citations

Rezitis, Anthony N. & Gregor Kastner. (2021). On the joint volatility dynamics in international dairy commodity markets*. Australian Journal of Agricultural and Resource Economics. 65(3). 704–728. 2 indexed citations

Kastner, Gregor & Florian Huber. (2020). Sparse Bayesian vector autoregressions in huge dimensions. Journal of Forecasting. 39(7). 1142–1165. 46 indexed citations

Kastner, Gregor, et al.. (2020). Efficient Bayesian Inference for Stochastic Volatility (SV) Models [R package stochvol version 3.0.3]. 1 indexed citations

Kastner, Gregor, et al.. (2020). Investigating the Dark Figure of COVID-19 Cases in Austria: Borrowing From the Decode Genetics Study in Iceland. Austrian Journal of Statistics. 49(5). 1–17. 5 indexed citations

10.

Kastner, Gregor. (2018). Sparse Bayesian time-varying covariance estimation in many dimensions. Journal of Econometrics. 210(1). 98–115. 58 indexed citations

11.

Kastner, Gregor. (2016). Dealing with Stochastic Volatility in Time Series Using theRPackagestochvol. Journal of Statistical Software. 69(5). 72 indexed citations

12.

Kastner, Gregor. (2016). Efficient Bayesian Interference for Stochastic Volatility. ePubWU Institutional Repository (Vienna University of Economics and Business). 1 indexed citations

13.

Kastner, Gregor. (2015). Heavy-Tailed Innovations in the R Package stochvol. ePubWU Institutional Repository (Vienna University of Economics and Business). 5 indexed citations

14.

Kastner, Gregor, et al.. (2014). The Business Value of Process Flexibility. Business & Information Systems Engineering. 6(4). 203–214. 20 indexed citations

15.

Kastner, Gregor, et al.. (2013). An Optimization Model for Valuating Process Flexibility. ERef Bayreuth (University of Bayreuth). 7 indexed citations

16.

Kastner, Gregor, et al.. (2013). Arbitrage hedging in markets for the US lean hogs and the EU live pigs. Agricultural Economics (Zemědělská ekonomika). 59(11). 505–511. 2 indexed citations

17.

Kastner, Gregor & Sylvia Frühwirth‐Schnatter. (2013). Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models. Computational Statistics & Data Analysis. 76. 408–423. 169 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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