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Tytuł:
Comparative analysis of accuracy of selected methods of building of combined forecasts and meta-forecast
Autorzy:
Perzyńska, Joanna
Powiązania:
https://bibliotekanauki.pl/articles/424861.pdf
Data publikacji:
2013
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
individual forecasts
combined forecasts
meta-forecasts
forecasts errors
forecasts weights
Opis:
In this paper the author presents a method of building a meta-forecast as an arithmetic mean of the combined forecasts set by various methods. The empirical example, in which the forecasts (individual, combined and meta-forecasts) are determined for the microeconomic variable with seasonal fluctuations, is the illustration of theoretical considerations. The accuracy of meta-forecasts is compared with the accuracy of their component combined forecasts and individual forecasts. The empirical studies confirm the usefulness of meta-forecasts. In most cases, they have lower errors than their component combined forecasts, also they are more accurate than individual forecasts.
Źródło:
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 1(39); 152-161
1507-3866
Pojawia się w:
Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Probabilistic predictive analysis of business cycle fluctuations in Polish economy
Autorzy:
Mazur, Błażej
Powiązania:
https://bibliotekanauki.pl/articles/1833823.pdf
Data publikacji:
2017-09-30
Wydawca:
Instytut Badań Gospodarczych
Tematy:
density forecasts
Opis:
Research background: The probabilistic setup and focus on evaluation of uncertainties and risks has become more widespread in modern empirical macroeconomics, including the analysis of business cycle fluctuations. Therefore, forecast-based indicators of future economic conditions should be constructed using density forecasts rather than point forecasts, as the former provide description of forecast uncertainty. Purpose of the article: We discuss model-based probabilistic inference on business cycle fluctuations in Poland. In particular, we consider model comparison for probabilistic prediction of growth rates of the Polish industrial production. We also develop a class of indicators of future economic conditions constructed using probabilistic information on the rates (that make use of joint predictive distribution over several forecast horizons). Methods: We use Bayesian methods (in order to capture the estimation uncertainty) and consider two groups of models. The first group consists of Dynamic Conditional Score models with the generalized t conditional distribution (with conditional heteroskedasticity and heavy tails, being important for modelling of extreme observations). Another group of models relies on deterministic cycle modelling using Flexible Fourier Form. Ex-post density forecasting performance of the models is compared using the criteria for probabilistic pre-diction: Log-Predictive Score (LPS) and Continuous Ranked Probability Score (CRPS). Findings & value added: The pre-2013 data support the deterministic cycle models whereas more recent observations can be explained by a simple mean-reverting Gaussian AR(4) process. The results indicate a structural change affecting Polish business cycle fluctuations after 2013. Hence, forecast pooling strategies are recommended as a tool for further research. We find rather limited support in favor of the first group of models. The probabilistic indicator of future economic conditions considered here leads actual phases of the growth cycle quite well, though the effect is less obvious after 2013.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2017, 12, 3
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Bayesian combined forecasts and Monte Carlo simulations to improve inflation rate predictions in Romania
Autorzy:
Simionescu, Mihaela
Powiązania:
https://bibliotekanauki.pl/articles/692557.pdf
Data publikacji:
2020
Wydawca:
Uniwersytet Ekonomiczny w Poznaniu
Tematy:
forecasts accuracy
Bayesian forecasts combination
shrinkage parameter
econometric model
Opis:
In this paper we applied the regression approach and Bayesian inference to obtain more accurate forecasts of the inflation rate in the case of the Romanian economy. The necessity of using the most accurate forecasts for the inflation rate is required by the realisation of economic criteria for the accession to the eurozone and by the inflation targeting strategy of the National Bank of Romania. Considering the assumption that simple econometric models provide better forecasts than complex models, in this paper we combined various forecasts from individual models using as prior information the expectations of experts. The empirical findings for Romanian inflation rate forecasts over the horizon of 2016-2018 indicated that a fixed effects model performed better than other simple models (autoregressive moving average model, dynamic model, simple and multiple linear model, VAR, Bayesian VAR, simultaneous equations model). The Bayesian combined forecasts that used experts’ predictions as priors, with a shrinkage parameter tending to infinity, improved the accuracy of all predictions using individual models, outperforming also naïve forecasts and zero and equal weights forecasts. However, predictions based on Monte Carlo simulation outperformed all the scenarios in terms of the mean error and mean absolute error.  
Źródło:
Research Papers in Economics and Finance; 2020, 4, 1; 7-20
2543-6430
Pojawia się w:
Research Papers in Economics and Finance
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Bayesian combined forecasts and Monte Carlo simulations to improve inflation rate predictions in Romania
Autorzy:
Simionescu, Mihaela
Powiązania:
https://bibliotekanauki.pl/articles/692571.pdf
Data publikacji:
2020
Wydawca:
Uniwersytet Ekonomiczny w Poznaniu
Tematy:
forecasts accuracy
Bayesian forecasts combination
shrinkage parameter
econometric model
Opis:
In this paper we applied the regression approach and Bayesian inference to obtain more accurate forecasts of the inflation rate in the case of the Romanian economy. The necessity of using the most accurate forecasts for the inflation rate is required by the realisation of economic criteria for the accession to the eurozone and by the inflation targeting strategy of the National Bank of Romania. Considering the assumption that simple econometric models provide better forecasts than complex models, in this paper we combined various forecasts from individual models using as prior information the expectations of experts. The empirical findings for Romanian inflation rate forecasts over the horizon of 2016-2018 indicated that a fixed effects model performed better than other simple models (autoregressive moving average model, dynamic model, simple and multiple linear model, VAR, Bayesian VAR, simultaneous equations model). The Bayesian combined forecasts that used experts’ predictions as priors, with a shrinkage parameter tending to infinity, improved the accuracy of all predictions using individual models, outperforming also naïve forecasts and zero and equal weights forecasts. However, predictions based on Monte Carlo simulation outperformed all the scenarios in terms of the mean error and mean absolute error.  
Źródło:
Research Papers in Economics and Finance; 2020, 4, 1; 7-20
2543-6430
Pojawia się w:
Research Papers in Economics and Finance
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Are the European Commissions forecasts of public finances better than those of national governments?
Autorzy:
Rybacki, Jakub
Powiązania:
https://bibliotekanauki.pl/articles/1356391.pdf
Data publikacji:
2020-10-31
Wydawca:
Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Tematy:
fiscal forecasts
convergence programme
Opis:
The academic literature in the past has frequently highlighted that the European Commission (EC) tends to provide more accurate public finance forecasts compared with national governments, thanks to its neutrality. The recent conflicts regarding the excessive deficit procedure with Romania and Italy and rule of law with Hungary and Poland raises the question of whether such conclusions are still binding. Therefore, we analysed a panel of forecasts submitted by the national governments with an annual update of Convergence programmes and corresponding EC predictions. Our dataset contains predictions of the general government deficit, revenues and expenditures for EU27 economies and the United Kingdom in the years 2014–2019. First, the analysis shows no meaningful discrepancies between both estimates when the horizon is set at the current year. Forecasts for the next year have equal accuracy in the case of government revenues and expenditures. However, the EC performs worse in the case of the final deficit. Second, cross-country effects are present, but the accuracy is different mainly in the very small economies, that is, the Baltic countries, Cyprus, Malta and Luxembourg. Amongst the more populated states, the EC outperforms the Slovakian and Denmark governments but has worse performance than the Irish, Portuguese and Spanish governments. We also do not see evidence of any political bias in the forecasts.
Źródło:
Central European Economic Journal; 2020, 7, 54; 101 - 109
2543-6821
Pojawia się w:
Central European Economic Journal
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Forecast values of HDI components for European countries for 2018–2022
Prognoza wartości składowych wskaźnika HDI dla krajów Europy na lata 2018–2022
Autorzy:
Oesterreich, M.
Powiązania:
https://bibliotekanauki.pl/articles/2080840.pdf
Data publikacji:
2019
Wydawca:
Zachodniopomorski Uniwersytet Technologiczny w Szczecinie. Wydawnictwo Uczelniane ZUT w Szczecinie
Tematy:
HDI components
forecasts
Europe
Polska
Opis:
The article presents the forecast values of the four components of the human development index that pertain to three areas of life, namely health, education and income, for 42 European countries, covering the period from 2018 to 2022, with a focus on Poland. The Holt model was used as a predictor. The results suggest that the social and economic dimensions will continue to improve in most of the analyzed countries. Statistical data used were derived from the Human Development Reports. The calculations were made using the R package.
Źródło:
Folia Pomeranae Universitatis Technologiae Stetinensis. Oeconomica; 2019, 94; 59-68
2081-0644
Pojawia się w:
Folia Pomeranae Universitatis Technologiae Stetinensis. Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The comparison of the forecasted and measured currents in the deep part of the Southern Baltic Sea in 1999
Autorzy:
Krzymiński, W.
Powiązania:
https://bibliotekanauki.pl/articles/972854.pdf
Data publikacji:
2001
Wydawca:
Instytut Morski w Gdańsku
Tematy:
Southern Baltic Sea
forecasts
HIROMB
Opis:
This paper presents results of the investigation carried out in frame of research project of Institute of Meteorology and Water Management Maritime Branch in Gdynia (IWM-MB) in the y ear 2000. The goal of the project was to determine the conformity of the sea current forecasts for the layer 8 - I 2 meters of the open sea part of the Southern Baltic Sea, as produced by the hydrodynamic model of the Baltic Sea- HIROMB [5}, with the measurements. Contrary to the results of previous experiments as in the case of the POLRODEX ones [7, 8, 9}, during present study it was expected to detect behaviour of the model far from the influence of the boundary like coastline as well as bottom friction in the shallow water areas. The analysed data were collected during five routine cruises of r/v Baltica organized by IWMMBsince February until September I999 [10], when cruise track started/rom the Gdansk Deep, next along the northern border of the Polish EEZ, ending in the Bomholm Deep area usually. On the basis of the current vectors recorded by means of the ship mounted ADCP as the 250 m average values in the layer 7.5 to 12.5 meters, mean values related to the model grid have been calculated and statistically assessed. These mean vectors have been used for compan·son of forecasted values. Consequently, the sets of values of the differences between measured and predicted currents were statistically evaluated both regarding the direction and the module of the currents as well as the current vector components (Vx, Vy) separately.
Źródło:
Biuletyn Instytutu Morskiego w Gdańsku; 2001, 28, 2; 55-64
1230-7424
2450-5536
Pojawia się w:
Biuletyn Instytutu Morskiego w Gdańsku
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Forecasts of Size of Steel Production in Poland until 2022
Autorzy:
Gajdzik, B.
Powiązania:
https://bibliotekanauki.pl/articles/2064914.pdf
Data publikacji:
2018
Wydawca:
STE GROUP
Tematy:
steel production
forecasts
adaptation models
Opis:
The article presents the results of forecasting the volume (size) of steel production in Poland based on selected adaptation models. The data used in forecasting were the annual size of steel production in the period from 2000 to 2017. Data on the size of steel production in Poland were obtained from reports of both the Polish Steel Association in Katowice (Poland) and the World Steel Association. The accuracy of predictions was determined by the values of real deviation of forecasted variable from forecasts (extinguished - ex post) using square root calculated from mean square error of apparent forecasts, ie RMSE - Root Mean Square Error and mean value of relative error of expired forecasts Ψ. Forecasts can be used in making decisions in metallurgical enterprises for building production scenarios.
Źródło:
Multidisciplinary Aspects of Production Engineering; 2018, 1, 1; 499--505
2545-2827
Pojawia się w:
Multidisciplinary Aspects of Production Engineering
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The comparison of the forecasted and measured currents in the deep part of the Southern Baltic Sea in 1999
Autorzy:
Krzymiński, W.
Powiązania:
https://bibliotekanauki.pl/articles/1920609.pdf
Data publikacji:
2001
Wydawca:
Instytut Morski w Gdańsku
Tematy:
Southern Baltic Sea
forecasts
HIROMB
Opis:
This paper presents results of the investigation carried out in frame of research project of Institute of Meteorology and Water Management Maritime Branch in Gdynia (IWM-MB) in the y ear 2000. The goal of the project was to determine the conformity of the sea current forecasts for the layer 8 - I 2 meters of the open sea part of the Southern Baltic Sea, as produced by the hydrodynamic model of the Baltic Sea- HIROMB [5}, with the measurements. Contrary to the results of previous experiments as in the case of the POLRODEX ones [7, 8, 9}, during present study it was expected to detect behaviour of the model far from the influence of the boundary like coastline as well as bottom friction in the shallow water areas. The analysed data were collected during five routine cruises of r/v Baltica organized by IWMMBsince February until September I999 [10], when cruise track started/rom the Gdansk Deep, next along the northern border of the Polish EEZ, ending in the Bomholm Deep area usually. On the basis of the current vectors recorded by means of the ship mounted ADCP as the 250 m average values in the layer 7.5 to 12.5 meters, mean values related to the model grid have been calculated and statistically assessed. These mean vectors have been used for compan·son of forecasted values. Consequently, the sets of values of the differences between measured and predicted currents were statistically evaluated both regarding the direction and the module of the currents as well as the current vector components (Vx, Vy) separately.
Źródło:
Biuletyn Instytutu Morskiego w Gdańsku; 2001, 28, 2; 55-64
1230-7424
2450-5536
Pojawia się w:
Biuletyn Instytutu Morskiego w Gdańsku
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Średniookresowa prognoza rozwoju gospodarczego Polski. Podtrzymane ożywienie
A Medium-Term Forecast for Poland’s Economic Growth: Sustained Recovery
Autorzy:
Welfe, Władysław
Florczak, Waldemar
Powiązania:
https://bibliotekanauki.pl/articles/575805.pdf
Data publikacji:
2007-06-30
Wydawca:
Szkoła Główna Handlowa w Warszawie. Kolegium Analiz Ekonomicznych
Tematy:
econometric models
forecasts
economic mechanisms
Opis:
The authors offer a medium-term projection for Poland’s economic growth in 2007-2011. The forecast was prepared with the use of an annual macroeconomic model developed at the Łódź University Faculty of Econometric Models and Forecasts. The model, which takes into account a number of exogenous variables and the latest trends in both the Polish economy and around the world, yields moderately optimistic conclusions about the possible paths of the country’s economic growth. In addition to the forecast, the authors discuss basic problems and threats to Poland’s future economic growth.
Źródło:
Gospodarka Narodowa. The Polish Journal of Economics; 2007, 216, 5-6; 85-96
2300-5238
Pojawia się w:
Gospodarka Narodowa. The Polish Journal of Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wpływ banku centralnego na oczekiwania inflacyjne gospodarstw domowych
Autorzy:
Szyszko, Magdalena
Powiązania:
https://bibliotekanauki.pl/articles/610205.pdf
Data publikacji:
2015
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
inflation expectations
inflation forecasts
inflation forecasts targeting
oczekiwania inflacyjne
prognozy inflacji
celowanie w prognozę
Opis:
The article analyzes the central bank’s impact on inflation expectations. Its starting point is the predominant role of expectations in the monetary policy – implied by the monetary theory. After that it presents main points of inflation targeting – focusing on the aspects that support expectations formation. Main body of the research is the analysis of the central banks’ of the Czech Republic, Poland and Hungary solutions in shaping expectations. Empirical part of the research covers quantitative research on the interdependences of consumers’ expectations (derived from surveys) and inflation forecasts of the central banks. The results confirm that the forecast of inflation is correlated with inflation expectations of consumers. The strength of interdependences is at most moderate. No direct relation between the strength of interdependences and monetary framework was found.
W artykule przedstawiono badania na temat kształtowania oczekiwań przez banki centralne. Po pierwsze, zarysowano przesłanki stabilizowania oczekiwań wynikające z teorii monetarnej. Po drugie, scharakteryzowano aspekty strategii celu inflacyjnego wspierające kształtowanie oczekiwań. Po trzecie, przeanalizowano postawy banków centralnych Czech, Polski i Węgier, wspierające kształtowanie oczekiwań. Właściwą część empiryczną badań stanowi analiza ilościowa współzależności między prognozami inflacji a oczekiwaniami inflacyjnymi. Jej podstawą była kwantyfikacja oczekiwań inflacyjnych konsumentów. Wyniki potwierdziły istnienie współzależności między prognozami a oczekiwaniami konsumentów o sile od słabej do umiarkowanej. Nie doszukano się bezpośredniego związku między rezultatami a ramami strategii wdrażanymi przez banki centralne. 
Źródło:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2015, 49, 4
0459-9586
Pojawia się w:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands
Autorzy:
Staszewska-Bystrova, Anna
Winker, Peter
Powiązania:
https://bibliotekanauki.pl/articles/483249.pdf
Data publikacji:
2014
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
forecasts
corporate bond spreads
prediction bands
Opis:
The recent financial crisis has seen huge swings in corporate bond spreads. It is analyzed what quality VAR-based forecasts would have had prior and during the crisis period. Given that forecasts of the mean of interest rates or financial market prices are subject to large uncertainty independent of the class of models used, major emphasis is put on the quality of measures of forecast uncertainty. The VAR considered is based on a model first suggested in the literature in 2005. In a rolling window analysis, both the model’s forecasts and joint prediction bands are calculated making use of recently proposed methods. Besides a traditional analysis of the forecast quality, the performance of the proposed prediction bands is assessed. It is shown that the actual coverage of joint prediction bands is superior to the coverage of naïve prediction bands constructed pointwise.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2014, 2; 89-104
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Water level forecasts for the eastern Gulf of Finland
Autorzy:
Klevanny, K. A.
Gubareva, V. P.
Mostamandy, M. S. W.
Ozerova, L. B.
Powiązania:
https://bibliotekanauki.pl/articles/972855.pdf
Data publikacji:
2001
Wydawca:
Instytut Morski w Gdańsku
Tematy:
water level
forecasts
Gulf of Finland
Opis:
The paper presents results of development and verification of the automated water level forecasting system for the eastern part of the Gulf of Finland with advance time 36 hours, which is based on two-dimensional hydrodynamic model of the Baltic Sea BSM3. The model is driven by the regional highresolution atmospheric model HIRLAM. Boundary conditions in the Danish Straits are received from a big scale model of the Baltic and North Seas (OPMODEL). The system works at the North-West Regional Administration of Hydro-Meteorological Service of Russia (NWHMS).
Źródło:
Biuletyn Instytutu Morskiego w Gdańsku; 2001, 28, 2; 71-87
1230-7424
2450-5536
Pojawia się w:
Biuletyn Instytutu Morskiego w Gdańsku
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
EKF macroeconomic consensus: forecasts, threats, opportunities and recommendations
Autorzy:
Pawłowicz, Leszek
Penczar, Marta
Bednarczyk, Teresa
Powiązania:
https://bibliotekanauki.pl/articles/2052149.pdf
Data publikacji:
2019-12-31
Wydawca:
Bankowy Fundusz Gwarancyjny
Tematy:
macroeconomic forecasts
macroeconomic challenges
financial stability
Opis:
The rapid pace of change in economic phenomena combined with the high volatility of financial markets and the growing importance of irrational behavioral factors, encourages a wider use of expert knowledge in macroeconomic forecasting. The aim of the article is to present the results of the fourth edition of the project Macroeconomic challenges and forecasts for Poland. The survey was conducted in the period November 8, 2019 – December 6, 2019. The article presents the prognostic consensus of experts cooperating with the European Financial Congress. In addition to classic macroeconomic forecasts for Poland, it contains threats to sustainable economic development and financial system stability, together with estimates of the subjective probability of implementation. Using the knowledge and competences of experts cooperating with EKF, recommended actions for economic policy were formulated, aimed at weakening the impact of identified threats in the future.
Źródło:
Bezpieczny Bank; 2019, 77, 4; 110-126
1429-2939
Pojawia się w:
Bezpieczny Bank
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
HIROMB forecasts versus spatial measurements of the currents by means of rdi's BBADCP during the POLRODEX'97 experiment
Autorzy:
Krzymiński, W.
Powiązania:
https://bibliotekanauki.pl/articles/1920506.pdf
Data publikacji:
1999
Wydawca:
Instytut Morski w Gdańsku
Tematy:
HIROMB forecasts
measurements
POLRODEX'97 experiment
Opis:
The paper presents the observations of the flow field within central part of the Gulf of Gdansk, which have been carried out during POLRODEX'97 experiment in September 1997 by means of BBADCP (Broad Band Acoustic Doppler Current Profiler). In the paper some results of comparison between predicted values and measured are presented as well. The goal of the experiment it was to collect the data in order to verify numerical model calculations and to study the method of the flow field reconstruction. The cruise took place on the RV BALTICA, which carried a shipboard RDI' s BBADCP measuring device. The measurements were carried out along parallel transects with 30 s frequency of the collected averaged bins, while velocities of the current were computed relative to the bottom. The flow fields were examined at alti-meter layers from 8 meters depth down to the bottom layer on 22 -24 of September 1997. For the analysis, the data for one layer (mid value 12 m.) were selected and prepared for the comparison. On the basis of the results of the measurements, quasicsynoptic flow fields were reconstructed. It made possible to compare them with the results of the HIROMB forecasts. In pre-analysis phase the two forecasts, i.e.: 24 hours for 22nd and 6 hours for 23rd forecast were compared with the measurements. It showed us that the best result would be obtained for shortest time span between measurements and forecast. So, for further analysis the 6 hours forecast for 23rd was used. Then, the statistical analysis of differences was carried out. In order to find any regularity of the differences distribution it is discussed their spatial layout as well. In general, the most significant differences occurred in the northern part of the investigated area. Differences increased from the centre of the gulf toward east and north. It was clearly seen that model reproduce current velocities and directions well mainly along the Hel Peninsula and in central part of the Gulf In other areas, velocities of the predicted currents are of another order of magnitude than measured values. Despite the results of the comparison between measured and modelled values, the collected data showed well-expressed pattern of the flow in the gulf what could be studied further.
Źródło:
Biuletyn Instytutu Morskiego w Gdańsku; 1999, 26, 1; 77-86
1230-7424
2450-5536
Pojawia się w:
Biuletyn Instytutu Morskiego w Gdańsku
Dostawca treści:
Biblioteka Nauki
Artykuł

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