2 citations · 3 across the 3 of their papers we have counts for
4 papers
Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity
Justyna Wróblewska, Łukasz Kwiatkowski
We develop a Bayesian framework for cointegrated structural VAR models identified by two-state Markovian breaks in conditional covariances. The resulting structural VEC specificati…
A Bayesian nonlinear stationary model with multiple frequencies for business cycle analysis
Łukasz Lenart, Łukasz Kwiatkowski, Justyna Wróblewska
We design a novel, nonlinear single-source-of-error model for analysis of multiple business cycles. The model's specification is intended to capture key empirical characteristics o…
Bayesian analysis of seasonally cointegrated VAR model
Justyna Wróblewska
The paper aims at developing the Bayesian seasonally cointegrated model for quarterly data. We propose the prior structure, derive the set of full conditional posterior distributio…
A note on some extensions of the matrix angular central Gaussian distribution
Justyna Wróblewska
This paper extends the notion of the matrix angular central distribution (MACG) to the complex case. We start by considering the normally distributed random complex matrix () an…