[FAM-news] Econometric Research Seminar at IHS

Christopher Summer csummer@fam.tuwien.ac.at
Tue, 12 Feb 2002 10:42:30 +0100 (MET)

---------- Forwarded message ----------
Date: Tue, 12 Feb 2002 10:07:33 +0100
From: Beatrix Pawelczak <pawelcza@ihs.ac.at>
Subject: Econometric Research Seminar at IHS

Dear Sir or Madam,

We cordially invite you to the next


Íkonometrisches 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."


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.



Beatrix Pawelczak