Nonlinear Financial Econometrics: Markov
β Greg N. Gregoriou, Razvan Pascalau
π Library
π
2011
π Palgrave Macmillan
π English
β¦ LIBER β¦
π
Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
β Scribed by Greg N. Gregoriou, Razvan Pascalau
- Publisher
- Palgrave Macmillan
- Tongue
- English
- Leaves
- 215
- Category
- Library
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No coin nor oath required. For personal study only.
β¦ Synopsis
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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