Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Author(s)
Gregoriou, Greg N.
Pascalau, Razvan
Gregoriou, Greg N.
Pascalau, Razvan
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
Keywords
Corporations--Valuation--Econometric models, Markov processes, BUSINESS & ECONOMICS--Investments & Securities--Stocks, HB141 .N66 2011eb, 332.63221015118
Corporations--Valuation--Econometric models, Markov processes, BUSINESS & ECONOMICS--Investments & Securities--Stocks, HB141 .N66 2011eb, 332.63221015118
| Name in long format: | Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration |
|---|---|
| ISBN-10: | 0230283640 |
| ISBN-13: | 9780230283640 |
| Book pages: | 215 |
| Book language: | en |
| Edition: | 2011 |
| Binding: | Hardcover |
| Publisher: | Palgrave Macmillan |
| Dimensions: | Height: 9 Inches, Length: 6 Inches, Weight: 1.0251495183 Pounds, Width: 1 Inches |
