Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration [electronic resource] /
Gregoriou, Greg N.author.
Pascalau, Razvan.author.
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.
Description based upon print version of record.
Includes bibliographical references and index.
pt. 1. Markov switching models -- pt. 2. Persistence and nonlinear cointegration.
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.
Business enterprises—Finance.
Econometrics.
Business mathematics.
Economic theory.
Finance.
Business Finance.
Econometrics.
Business Mathematics.
Economic Theory/Quantitative Economics/Mathematical Methods.
Finance, general.