Welcome to my homepage!
I am an associate professor in the Department of Logistics (till 2010 in the Department of Econometrics and Statistics) of the Nicolaus Copernicus Univeristy in Torun, Poland.
My research interests cover:
- forecasting and demand planning;
- frequency and time-frequency methods;
- nonlinear time series analysis;
- resampling methods in econometrics.
Realised and ongoing projects:
- Non-Linear Processes and Non-Linear Long-Term Relationships in Economics (financed by the Polish Foundation for Science in 2003-2004 with a scholarship for young scientists);
- Macroeconomic Applications of Non-Linear Cointegration Analysis (financed by the Polish Ministry of Science in 2005-2007);
- Wavelet Decompositions in Economics: Exploratory Analysis, Business Cycle Synchronisation and Forecasting (financed by the Polish Ministry of Science in 2008-2012);
- Dynamic Quantile Models – Methodology and Applications.
Recent articles, book chapters and working papers in English:
- Quantile Smoothing in Supply Chain and Logistic Forecasting, Working Paper, 2017.
- Complex Analytic Wavelets in Measurement of Macroeconomic Risks and Pricing of Assets, Working Paper, 2017.
- Amplitude and Phase Synchronization of European Business Cycles: A Wavelet Approach, Studies in Nonlinear Dynamics and Econometrics, vol. 19, no. 5, 2015, pp. 625-655.
- Real and Complex Wavelets in Asset Classification: An Application to the US Stock Market, Finance Research Letters, vol. 21, May 2017, pp 115-125.
- Forecasting via wavelet denoising - the random signal case, in. M. Gallegati, W. Semmler (eds.) Wavelet applications in economics and finance, Springer, 2014.
- On Simple Wavelet Estimators of Random Signals and Their Small-Sample Properties, Journal of Statistical Computation and Simulation, vol. 85 no. 14, 2015, pp. 2771-2792.
- Some Aspects of the Discrete Wavelet Analysis of Bivariate Spectra for Business Cycle Synchronization, Economics - The Open-Access, Open-Assessment E-Journal, vol. 5 no. 16, 2011, pp. 1-48.
- Business Cycle Synchronization According to Wavelets – the Case of Poland and the Euro Zone Member Countries, Bank i Kredyt, vol. 42 no. 3, 2011, pp. 5-32.
- On Some Problems in Discrete Wavelet Analysis of Bivariate Spectra with an Application to Business Cycle Synchronization in the Euro Zone, Economics Discussion Paper, no. 2011-5, 2011.
- The Haar Wavelet Transfer Function Model and Its Applications, Dynamic Econometric Models, vol. 11, 2011, pp. 141-153.
- Detection of Collusion Equilibrium in an Industry with Application of Wavelet Analysis, Dynamic Econometric Models, vol. 11, 2011, pp. 155-169, jointly with S. Bejger.
- European Equity Market Integration and Optimal Investment Horizons : Evidence from Wavelet Analysis, Dynamic Econometric Models, vol. 10, 2010, pp. 15-30.
- Examination of the Cost-of-Carry Formula for Futures Contracts on WIG20 : Wavelet and Nonlinear Cointegration Analysis, in: Coping with the Complexity of Economics / ed. by M. Faggini, T. Lux, Milano : Springer, 2009, pp. 81-110.
- Testing for Second-Order LSTR Cointegration : Some Simulation and Empirical Results, in : Financial Markets : Principles of Modelling Forecasting and Decision-Making / ed. by W. Milo, G. Szafranski, P. Wdowinski, Lodz : Lodz University Press, 2009, pp. 23-39.
- Output-Capital Nexus in the Solow and Romer Growth Models. : LSTR or ESTR Cointegration? Dynamic Econometric Models, vol. 8, 2008, pp. 103-110.
- Exponential or Logistic Smooth Transition Cointegration in the Term Structure of Interest Rates? : A Case of a Transition Economy, paper presented at the 14th International Conference "Forecasting Financial Markets : Advances for Exchange Rates, Interest Rates and Asset Management", Aix-en-Provence, 30, 31 May and 1 June 2007.
- Examination of the Term Structure of Interest Rates in Poland : Linear and Nonlinear Cointegration Analysis, in : Financial Markets : Principles of Modelling Forecasting and Decision-Making / ed. by W. Milo, G. Szafranski, P. Wdowinski, Lodz : Lodz University Press, 2007, pp. 59-78, jointly with D. Gorecka & T. Kozlinski.
- Modelling the PLN/EUR Exchange Rate – Long-Term Relationships with Non-Linear Adjustment, in : Mathematical, Econometrical and Computational Methods in Finance and Insurance / ed. by P. Chrzan, Katowice : The Karol Adamiecki University of Economics, 2006, pp. 27-38.
- Empirical Verification of Money Demand Models : Non-Linear Cointegration Analysis, Dynamic Econometric Models, vol. 7, 2006, pp. 113-124.
- The Cost-of-Carry Model for the FW20 Futures Contracts : Threshold Cointegration Framework, in : Financial Markets : Principles of Modelling Forecasting and Decision-Making / ed. by W. Milo and P. Wdowinski, Lodz : Lodz University Press, 2006, pp. 185-207.
- Testing for Logistic and Exponential Smooth Transition Cointegration with an Application to Monetary Exchange Rate Models, in: Mathematical methods in economics 2006. Proceedings of the 24th International Conference / ed. by: Ladislav Lukáš, Pilsen: University of West Bohemia, Czech Republic, 2006, pp. 61-75.
A complete list of publications can be found in EXPERTUS database, see also GOOGLE SCHOLAR.
Wavelet Analysis in Economic Applications, Torun: Torun University Press, 2012
Nonlinear Processes and Long-Term Relationships in Economics : Non-Linear Cointegration Analysis, Torun: Torun University Press, 2007, in Polish.
Comments and suggestions are welcome! Please feel free to contact me if you think we can work on a common scientific project.
The majority of my computations are performed in Matlab. All codes are available upon request.
Department of Logistics
Faculty of Economic Sciences and Management
Nicolaus Copernicus University
Gagarina 13A, 87-100 Torun
phone: +48 56 611 4629
fax: +48 56 654 2450