Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Greg N. Gregoriou, Razvan Pascalau
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.
Catégories:
Année:
2011
Editeur::
Palgrave Macmillan
Langue:
english
Pages:
217
ISBN 10:
0230283640
ISBN 13:
9780230283640
Fichier:
PDF, 1.81 MB
IPFS:
,
english, 2011