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

Business & Finance, Economics, Econometrics, Finance & Investing, Corporate Finance
Cover of the book Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by Greg N. Gregoriou, Razvan Pascalau, Palgrave Macmillan UK
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Author: Greg N. Gregoriou, Razvan Pascalau ISBN: 9780230295216
Publisher: Palgrave Macmillan UK Publication: December 8, 2010
Imprint: Palgrave Macmillan Language: English
Author: Greg N. Gregoriou, Razvan Pascalau
ISBN: 9780230295216
Publisher: Palgrave Macmillan UK
Publication: December 8, 2010
Imprint: Palgrave Macmillan
Language: English

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.

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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.

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