Dr Tomasz Wozniak
Senior Lecturer in Economics
Department of Economics
15 Scholarly works
0 Projects
HIGHLIGHTS
2025
Journal article
Partial identification of structural vector autoregressions with non-centred stochastic volatility
DOI: 10.1016/j.jeconom.2025.1061072022
Dataset
bsvars: Bayesian Estimation of Structural Vector Autoregressive Models
DOI: 10.32614/cran.package.bsvars2021
Journal article
Markov Switching
DOI: 10.1093/acrefore/9780190625979.013.1742020
Journal article
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
DOI: 10.1016/j.jedc.2020.1038622018
Report
Accurate Computation of Marginal Data Densities Using Variational Bayes
2018
Journal article
Granger-causal analysis of GARCH models: A Bayesian approach
DOI: 10.1080/07474938.2015.10928392017
Journal article
Granger Causality and Regime Inference in Markov Switching VAR Models with Bayesian Methods
DOI: 10.1002/jae.2531
RECENT SCHOLARLY WORKS
2016
Journal article
Bayesian Vector Autoregressions
DOI: 10.1111/1467-8462.121792015
Journal article
Testing causality between two vectors in multivariate GARCH models
DOI: 10.1016/j.ijforecast.2015.01.0052015
Report
Egyptian and Syrian commodity markets after the dissolution of the Ottoman Empire: A Bayesian structural VECM analysis