Nonlinear Financial Econometrics: Markov Switching Models, Persistence And Nonlinear Cointegration
by Greg N. Gregoriou
2020-11-24 09:13:23
Nonlinear Financial Econometrics: Markov Switching Models, Persistence And Nonlinear Cointegration
by Greg N. Gregoriou
2020-11-24 09:13:23
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.
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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