---------- Forwarded message ----------
Date: Tue, 12 Feb 2002 10:07:33 +0100
From: Beatrix Pawelczak <pawelcza(a)ihs.ac.at>
Subject: Econometric Research Seminar at IHS
Dear Sir or Madam,
We cordially invite you to the next
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Ökonometrisches Forschungsseminar /
Econometric Research Seminar
(M.Deistler, A. Weber)
on Thursday, February 14, 2002, at 9:15 a.m.
Institute for Advanced Studies, HS II
Stumpergasse 56, A-1060 Vienna
Engelbert J. DOCKNER (University of Vienna)
"Nonlinear Versus Non-Gaussian Volatility Models."
Abstract:
With the introduction of GARCH models empirical research in finance
started to focus on the issue of nonlinear and non-Gaussian models for
conditional variances. In this paper we present a recurrent mixture
density network and estimate conditional variances. Using stock market
returns it turns out that while nonlinear modelling does not seem to be
important, non-Gaussian conditional distributions are necessary to capture
time varying higher moments and fat tails.
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Sincerely,
Beatrix Pawelczak