List of staff:
Director: Prof. dr hab. Wojciech Charemza
Position in VCAS: Director
Office: Room 306, VCAS, Vistula University, ul. Stokłosy 3, 02-787 Warsaw, Poland
- Financial Econometrics
- Monetary policy, inflation modelling
- Simulation methods in econometrics
- Modelling macroeconomic uncertainty
- Probabilistic and simulation models of voting
Selected Recent Publications
Charemza, W. and D. Ladley: ‘Central banks’ forecasts and their bias: evidence, effects and explanation’, International Journal of Forecasting 32, 2016, 804-817.
Charemza, W., S. Makarova and I. Shah: ‘Making the most of high inflation’, Applied Economics 47, 2015, 737-741.
Charemza, W., Yu. Kharin and V. Maevskiy: ‘Bilinear forecast risk assessment for non-systematic inflation: theory and evidence’, in (F. Schller, ed.) Advances in Non-Linear Economic Modeling: Theory and Applications, Springer, 2014.
Charemza, W. and I. H. Shah: ‘Stability price index, core inflation and output volatility’ Applied Economics Letters 20, 2013, 737-741.
Charemza, W., R. Strachan and P. Żurawski: ‘False posteriors and Bayesian averaging of empirical estimates: a reinterpretation of the long-term growth determinants’, Economics Letters 109, 2010, 144-146.
Project/papers in development (selected)
- OPUS 8 project (NCN, National Council of Science, Poland), Evaluation of macroeconomic uncertainty, Duration of the project: 2015-2018.Charemza, W., C Díaz and S. Makarova, ‘Quasi ex-ante inflation forecast uncertainty’, presented at the Econometric Research in Finance Workshop, SGH, Warsaw, September 2017; 10th International Conference on Computational and Financial Econometrics (CFE 2016) Seville, December 2016.Charemza, W. S. Makarova and Y. Wu, ‘Probability of short-term deflation episodes and their expected duration: the case of China’, 4th International Symposium in Computational Economics and Finance in Paris, April, 2016.
- Other researchCharemza, W., ‘Geopolitical uncertainty and financial markets’, 7th European Financial Congress, Sopot, June 2017.Charemza, W., Francq, C., S. Makarova and J-M. Zakoïan, ‘Testing for policy affected uncertainty in Arma-Garch model’, Workshop on the macroeconomics of uncertainty and volatility, Stanford Institute for Theoretical Economics (SITE), Stanford University, September 2016.