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 =========================================================================