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

Gregoriou, Greg N.; Pascalau, Razvan

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.

Details

Published by: Palgrave Macmillan

Publication Date: 2011-01-01

Format: Paperback

ISBN-13: 9781349328949

DOI: 10.1057/9780230295216

Dimensions: 229cm x152cm

Pages: 196