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

by Greg N Gregoriou and Razvan Pascalau

0 ratings • 0 reviews • 0 shelved
Book cover for Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Shelve It

Bookhype may earn a small commission from qualifying purchases. Full disclosure.

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.
  • ISBN13 9780230283640
  • Publish Date 8 December 2010 (first published 1 January 2010)
  • Publish Status Active
  • Publish Country GB
  • Imprint Palgrave Macmillan
  • Format Hardcover
  • Pages 196
  • Language English