Tomasz Wozniak

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

H Lütkepohl, T Woźniak

Journal article  |  2020  |  Journal of Economic Dynamics and Control

In this study, Bayesian inference is developed for structural vector autoregressive models in which the structural parameters are ..

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity

T Wozniak, Helmut Lütkepohl

Report  |  2018  |  Journal of Economic Dynamics and Control

In this study, Bayesian inference is developed for structural vector autoregressive models in which the structural parameters are ..

Accurate Computation of Marginal Data Densities Using Variational Bayes

T Wozniak, Gholamreza Hajarghasht

Report  |  2018

Bayesian model selection and model averaging rely on estimates of marginal data densities (MDDs) also known as marginal likelihood..

Granger-causal analysis of GARCH models: A Bayesian approach

Tomasz Wozniak

Journal article  |  2018  |  Econometric Reviews

Granger Causality and Regime Inference in Markov Switching VAR Models with Bayesian Methods

Matthieu Droumaguet, Anders Warne, Tomasz Wozniak

Journal article  |  2017  |  Journal of Applied Econometrics

Bayesian Vector Autoregressions

Tomasz Wozniak

Journal article  |  2016  |  AUSTRALIAN ECONOMIC REVIEW

Testing causality between two vectors in multivariate GARCH models

T Wozniak

Journal article  |  2015  |  International Journal of Forecasting

The family of Constant Conditional Correlation GARCH models is used to model the risk associated with financial time series and to..

Egyptian and Syrian commodity markets after the dissolution of the Ottoman Empire: A Bayesian structural VECM analysis

L PANZA, T Wozniak

Report  |  2015

The disruption of the Ottoman Empire caused dramatic changes to the economic and political structure of the Middle East. The newly..

Granger-Causal Analysis of GARCH Models: a Bayesian Approach

T Wozniak

Report  |  2015

Granger Causality and Regime Inference in Bayesian Markov-Switching VARs

M Droumaguet, A Warne, T Wozniak

Report  |  2015