Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Author(s)
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
Corporate Finance, Econometrics, Business Mathematics, Theory, Finance, Business & Economics -> Finance -> Corporate Finance, Business & Economics -> Economics -> Forecasting/Econometrics, Business & Economics -> Business Mathematics -> Business Mathematics, Business & Economics -> Economics -> Macroeconomic Theory, Business & Economics -> Finance -> Finance - General, SC512000, SCW29010, SC523000, SCW29000, SC600000, SUCO41136, 4371, 4588, 4463, 3034, 6230, 13130

Book Details

Name in long format:	Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
ISBN-10:	0230295215
ISBN-13:	9780230295216
Book pages:	275
Book language:	en
Edition:	2011
Binding:	Kindle Edition
Publisher:	Palgrave Macmillan
Dimensions:	Page Fidelity

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