The accuracy of predicting Consumer Price Index (CPI) in West African economies is a
complex issue influenced by various factors, including COVID-19 and ongoing Russia …

We compare predictive performance of a multitude of alternative Bayesian vector
autoregression (VAR) models allowing for cointegration and time‐varying conditional …

The paper is focused on comparing the forecasting performance of two relatively new types
of Vector Error Correction-Multiplicative Stochastic Factor (VEC-MSF) specifications: VEC …

Hybrid MSV-MGARCH models, in particular the MSF-SBEKK specification, proved useful in
multivariate modelling of returns on financial and commodity markets. The initial MSF …

This research is focused on a formal Bayesian method of recursive multi-step-ahead density
prediction and its ex post evaluation. Our approach remains within the framework of the …

In the paper, we examine the forecasting abilities of Bayesian vector error correction models
(allowing for longterm relationships between modelled variables) featuring Markovian …

This paper investigates the relative importance of cost, demand, financial and monetary
shocks in driving real exchange rates in four CEE countries over 2000–2018. A two-country …

In the paper we examine the forecasting performance of Bayesian vector error correction
models (allowing for long-term relationships between modelled variables) featuring two-and …

Formal Bayesian comparison of two competing models, based on the posterior odds ratio,
amounts to estimation of the Bayes factor, which is equal to the ratio of respective two …

The aim of the paper is to compare the forecasting potentials of two classes of Multiplicative
Stochastic Factor–scalar BEKK (MSF-SBEKK) models which differ in the type of latent …