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

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

Greg N. Gregoriou

Format: Print Book

ISBN: 9780230283640

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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.

Publication Year: 2011
Imprint: Palgrave Macmillan UK
Format: H
Weight (Gram): 465





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