Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

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Vector Error Correction models with time-varying covariance structure in Bayesian analysis and prediction of macroeconomic and financial phenomena.

2018/31/B/HS4/00730

Keywords:

VEC models stochastic volatility models Markov Switching bayesian inference

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_1: Macroeconomics (incl. economic balance, economic growth, business cycles in global economy, labour economics)
  • HS4_6: Financial markets, international finance, public finance

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Ekonomiczny w Krakowie, Kolegium Ekonomii, Finansów i Prawa

woj. małopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Anna Pajor 

Number of co-investigators in the project: 3

Call: OPUS 16 - announced on 2018-09-14

Amount awarded: 396 726 PLN

Project start date (Y-m-d): 2019-09-02

Project end date (Y-m-d): 2024-09-01

Project duration:: 36 months (the same as in the proposal)

Project status: Project completed

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (8)
  • Book publications / chapters in book publications (2)
  1. Has the Covid-19 outbreak capsized the predictive performance of Bayesian VAR models with cointegration and time-varying volatility?
    Authors:
    Anna Pajor, Łukasz Kwiatkowski, Justyna Wróblewska
    Academic press:
    Annals of Applied Statistics (), Wydawca: Institute of Mathematical Statistics (IMS)
    Status:
    Submitted
    DOI:
    brak - link to the publication
  2. Hybrid SV-GARCH, t-GARCH and Markov-switching covariance structures in VEC models – Which is better from a predictive perspective?
    Authors:
    Anna Pajora, Justyna Wróblewska, Łukasz Kwiatkowski, Jacek Osiewalski
    Academic press:
    International Statistical Review (rok: 2023, tom: nie dotyczy, strony: 45316), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1111/insr.12546 - link to the publication
  3. Inverted gamma vs. log normal innovations in MSF-SBEKK models in the forecasting of selected Polish exchange rates
    Authors:
    Anna Pajor
    Academic press:
    Śląski Przegląd Statystyczny (Silesian Statistical Review) (rok: 2020, tom: 18, strony: 197-218), Wydawca: Wydawnictwo Uniwersytetu we Wrocławiu
    Status:
    Published
    DOI:
    10.15611/sps.2020.18.11 - link to the publication
  4. Bayesian ex Post Evaluation of Recursive Multi-Step-Ahead Density Prediction
    Authors:
    Anna Pajor, Jacek Osiewalski, Justyna Wróblewska, Łukasz Kwiatkowski
    Academic press:
    Bayesian Analysis (rok: 2023, tom: Advance Publication, strony: 12055), Wydawca: International Society for Bayesian Analysis
    Status:
    Published
    DOI:
    10.1214/23-BA1367 - link to the publication
  5. Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships
    Authors:
    Anna Pajor, Justyna Wróblewska
    Academic press:
    Eurasian Economic Review (rok: 2022, tom: 12, strony: 427-448), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s40822-022-00203-x - link to the publication
  6. Identication of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity
    Authors:
    Justyna Wróblewska, Łukasz Kwiatkowski
    Academic press:
    Journal of Business & Economic Statistics (), Wydawca: Taylor & Francis
    Status:
    Submitted
    DOI:
    brak - link to the publication
  7. A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model
    Authors:
    Łukasz Lenart, Anna Pajor, Łukasz Kwiatkowski
    Academic press:
    Entropy (rok: 2021, tom: 23(6), strony: 16072), Wydawca: Multidisciplinary Digital Publishing Institute (MDPI)
    Status:
    Published
    DOI:
    10.3390/e23060689 - link to the publication
  8. New Estimators of the Bayes Factor for Models with High-Dimensional Parameter and/or Latent Variable Spaces
    Authors:
    Anna Pajor
    Academic press:
    Entropy (rok: 2021, tom: 23(4), strony: 45311), Wydawca: Multidisciplinary Digital Publishing Institute (MDPI)
    Status:
    Published
    DOI:
    10.3390/e23040399 - link to the publication
  1. Bayesian VEC models with Markov-switching heteroscedasticity in forecasting macroeconomic time series
    Authors:
    Łukasz Kwiatkowski
    Book:
    The 14th Professor Aleksander Zeliaś International Conference on Modelling and Forecasting of Socio-Economic Phenomena (rok: 2020, tom: brak, strony: 78-87), Wydawca: Wydawnictwo Małopolskiej Szkoły Administracji Publicznej Uniwersytetu Ekonomicznego w Krakowie
    Status:
    Published
  2. MCMC Method for the IG-MSF-SBEKK Model
    Authors:
    Anna Pajor
    Book:
    Quantitative methods in the contemporary issues of economics (rok: 2020, tom: brak, strony: 77-89), Wydawca: edu-Libri s.c.
    Status:
    Published

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