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

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

Palgrave Macmillan
SKU:
9780230283640
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ISBN13:
9780230283640
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Description
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.


  • | Author: Greg N. Gregoriou
  • | Publisher: Palgrave MacMillan
  • | Publication Date: Dec 08, 2010
  • | Number of Pages: 196 pages
  • | Binding: Hardback or Cased Book
  • | ISBN-10: 0230283640
  • | ISBN-13: 9780230283640
Additional Information
Author:
Greg N. Gregoriou
Publisher:
Palgrave MacMillan
Publication Date:
Dec 08, 2010
Number of pages:
196 pages
Binding:
Hardback or Cased Book
ISBN-10:
0230283640
ISBN-13:
9780230283640
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