SEMINAR IN FINANCE
Christian Helmenstein, Gabriel Lee
(Biweekly Mondays)
Monday, 07. April 1997
Martin Scheicher
(University of Vienna, Department of Economics)
"Modeling Polish Stock Returns"
Abstract:
This paper studies the econometric modeling of returns from the Warsaw Stock
Exchange. We collect the statistical properties of returns and compare them
to a sample from the German stock market. Then we evaluate the fit of two
types of models: GARCH and Poisson Jump processes. We find that GARCH
dominates the Jump model.
Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI
Time: 17:00h-18:30h
Info:
http://www.wsr.ac.at/ihs-html/fin/finsem.html
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