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

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Author :
Publisher : Springer
Total Pages : 214
Release :
ISBN-10 : 9780230295216
ISBN-13 : 0230295215
Rating : 4/5 (215 Downloads)

Book Synopsis Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by : Greg N. Gregoriou

Download or read book Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration written by Greg N. Gregoriou and published by Springer. This book was released on 2010-12-08 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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