Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration - Greg N. Gregoriou - Books - Palgrave Macmillan - 9780230283640 - December 8, 2010
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Greg N. Gregoriou

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

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.

218 pages, 1, black & white illustrations

Media Books     Hardcover Book   (Book with hard spine and cover)
Released December 8, 2010
ISBN13 9780230283640
Publishers Palgrave Macmillan
Pages 196
Dimensions 145 × 226 × 15 mm   ·   376 g
Editor Gregoriou, Greg N.
Editor Pascalau, Razvan
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