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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration 1st ed. 2011 edition
Greg N. Gregoriou
Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration 1st ed. 2011 edition
Greg N. Gregoriou
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.
196 pages, XIX, 196 p.
Media | Books Paperback Book (Book with soft cover and glued back) |
Released | 2011 |
ISBN13 | 9781349328949 |
Publishers | Palgrave Macmillan |
Pages | 196 |
Dimensions | 454 g |
Language | English |
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