The paper presents examples of gas prices modeling in Poland by means of the VAR model (AutoRegression Vector Model). For comparison, the predictions are made for the models estimated by different variations of the generalized least squares method.

There is a growing demand for models which enable to measure and assess the risk in long-term horizons (sometimes more than 2 years). The practical demand for such models is required by the institutions which manage the investments and retirement funds. In the paper the theoretical aspects of...

In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the...