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Modele wektorowo-autoregresyjne jako odpowiedź na krytykę strukturalnych wielorównaniowych modeli ekonometrycznych

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Wójcik A.

Studia Ekonomiczne

2014

vol. 193

112-128

In seventies, structural models were subjected to the criticism more and more. In the article the author presented reasons of the criticism of structural models and theoretical bases of vector autoregression models which was introduced in article C. A. Sims in 1980. An example of using VAR models was also expressed for the modelling of macroeconomic variables. In the summary the author described defects and virtues of VAR models in the context of the structural attempt at the econometric modelling.

Modele Copula M-GARCH o rozkładach niezmienniczych na transformacje ortogonalne

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Pipień M.

Studia Ekonomiczne

2014

vol. 203

134-142

We discuss generalisation of the conditional distribution in GARCH model and present empirical analysis indicating its empirical importance. The model is a generalised version of those presented in Pipień (2007, 2010). The flexibility of the construct involves the existence of a set of coordinates along which the fat tails and asymmetry can be modelled. In the conditional distribution both linear and nonlinear dependence between individual returns can be modelled, while the latter being described by the copula function. In the empirical part of the paper the dynamics and dependence of daily returns of WIG20 SPOT and FUTURES are discussed.

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2 Studia Ekonomiczne

2 2014

1 Pipień M.

1 Wójcik A.

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Modele wektorowo-autoregresyjne jako odpowiedź na krytykę strukturalnych wielorównaniowych modeli ekonometrycznych

Modele Copula M-GARCH o rozkładach niezmienniczych na transformacje ortogonalne