1 citations · 2 across the 3 of their papers we have counts for
3 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…
Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting
Jakub Michańków, Łukasz Kwiatkowski, Janusz Morajda
In this paper, we develop a hybrid approach to forecasting the volatility and risk of financial instruments by combining common econometric GARCH time series models with deep learn…