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

by Greg N. Gregoriou

2020-11-24 13:43:23

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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. Less

Book Details

File size9.02 X 5.98 X 0.56 in
Print pages196
PublisherPalgrave Macmillan
Publication date December 8, 2010
LanguageEnglish
ISBN9780230283640
autor-image
Greg N. Gregoriou
Author
Greg N. Gregoriou is a professor of finance in the School of Business and Economics at the State University of New York (Plattsburgh). He is co-editor of the Journal of Derivatives and Hedge Funds and...

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