Nonlinear financial econometrics : Markhov switching models, persistence and nonlinear cointegration

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Title:

Nonlinear financial econometrics : Markhov switching models, persistence and nonlinear cointegration

Author:

Gregoriou, Greg N., 1956-

ISBN:

9780230283640

Publication Information:

Basingstoke, UK ; New York : Palgrave Macmillan, 2011.

Physical Description:

1 online resource (xix, 196 p.) : ill.

Subject Term:

Corporations -- Valuation -- Econometric models.

Markov processes.

Added Author:

Gregoriou, Greg N., 1956-

Pascalau, Razvan.

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:AV-MAT	33168025515863	332.63221015118 G821N 2011	1	Searching... Unknown

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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