Nonlinear Financial Econometrics: Markov Switching Models, Persistence And Nonlinear Cointegration by Greg N. GregoriouNonlinear Financial Econometrics: Markov Switching Models, Persistence And Nonlinear Cointegration by Greg N. Gregoriou

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

byGreg N. Gregoriou, Razvan Pascalau

Hardcover | December 8, 2010

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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.
JEREMY BERKOWITZ Associate Professor of Finance at Bauer College of Business, University of Houston, USA DEREK BOND Senior Lecturer in Financial Econometrics at the University of Ulster, UK THOMAS C. CHIANG Marshall M. Austin Professor of Finance at Drexel University, USA MICHAEL DREW Professor of Finance and Head of Finance and Financ...
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Title:Nonlinear Financial Econometrics: Markov Switching Models, Persistence And Nonlinear CointegrationFormat:HardcoverDimensions:196 pages, 9.02 × 5.98 × 0.56 inPublished:December 8, 2010Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230283640

ISBN - 13:9780230283640

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Table of Contents

PART I: MARKOV SWITCHING MODELS Valuing Equity when Discounted Cash-Flows are Markov; J.Berkowitz Markov Switching Mean-Variance Efficient Frontier Dynamics: Theory and International Evidence; M.Guidolin & F.Ria A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets; T.C.Chiang, Z.Qiao & W.-K.Wong PART II: PERSISTENCE AND NONLINEAR COINTEGRATION Nonlinear Persistence and Cointegration; C.Gourieroux & J.Jasiak Fractionally Integrated Models for Volatility: A Review; D.Fantazzini An Explanation for Persistence in Share Prices and their Associated Returns; D.Bond & K.A.Dyson Nonlinear Shift Contagion Modelling: Further Evidence from High Frequency Stock Data; M.El Hedi Arouri, F.Jawadi, W.Couhichi & D.K.Nguyen Selection of the Extended State-Space VECM Modelling, Using the Bootstrap; J.Penm & R.D. Terrell Nonlinear Cointegration and Nonlinear Error Correction Models: Theory and Empirical Applications for Oil and Stock Markets; M.El Hedi Arouri, F.Jawadi & D.K.Nguyen