@misc{Piontek_Krzysztof_Wykorzystanie_2005,
 author={Piontek, Krzysztof and Papla, Daniel},
 year={2005},
 rights={Wszystkie prawa zastrzeżone (Copyright)},
 publisher={Wydawnictwo Akademii Ekonomicznej im. Oskara Langego we Wrocławiu},
 description={Prace Naukowe Akademii Ekonomicznej we Wrocławiu; 2005; nr 1088, t. 2, s. 126-138},
 language={pol},
 abstract={In this paper an example of utilizing multi equations AR-GARCH models in measuring risk of two elements portfolio using a variation - covariation method is presented. This modern - conditional - approach was compared with more classic, non-conditional method, which assumes that parameters of multidimensional density function are constant in time.In first part of this paper few essential concepts related to VaR and its measurement using variance-covariance matrix are introduced. In second part two models of returns and methods of calculating vector of conditional means and conditional variance-coviariance matrix are presented, one model is non-conditional, second is a multidimensional AR-GARCH model. Then tests of goodness of VaR models are presented. Empirical example, in which data from chosen worlds and Polish capital markets were used, concludes the paper. (original abstract)},
 type={artykuł},
 title={Wykorzystanie wielorównaniowych modeli AR-Garch w pomiarze ryzyka metodą VaR},
}