Tomasz Wozniak

University of Melbourne - Department of Economics

Melbourne, 3010

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

69

SSRN CITATIONS
Rank 47,211

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Top 47,211

in Total Papers Citations

2

CROSSREF CITATIONS

12

Scholarly Papers (2)

1.

Granger Causality and Regime Inference in Bayesian Markov-Switching VARs

ECB Working Paper No. 1794
Number of pages: 52 Posted: 23 Jun 2015
Matthieu Droumaguet, Anders Warne and Tomasz Wozniak
European University Institute, European Central Bank (ECB) and University of Melbourne - Department of Economics
Downloads 45 (541,288)
Citation 2

Abstract:

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Bayesian hypothesis testing; block Metropolis-Hastings sampling; Markov-switching models; mixture models; posterior odds ratio

2.

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

DIW Berlin Discussion Paper No. 1707
Number of pages: 39 Posted: 19 Dec 2017
Helmut L├╝tkepohl and Tomasz Wozniak
Free University of Berlin (FUB) and University of Melbourne - Department of Economics
Downloads 24 (662,737)
Citation 3

Abstract:

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Identification through Heteroskedasticity, Markov-Switching Models, Savage-Dickey Density Ratio, Monetary Policy Shocks, Divisia Money