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Nonlinear Financial Econometrics : Markov Switching Models, Persistence and Nonlinear Cointegration.

Author: Dr Greg N Gregoriou; Razvan Pascalau
Publisher: Basingstoke : Palgrave Macmillan, 2010.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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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Genre/Form: Electronic books
Additional Physical Format: Print version:
Gregoriou, Dr Greg N.
Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration.
Basingstoke : Palgrave Macmillan, ©2010
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Dr Greg N Gregoriou; Razvan Pascalau
ISBN: 9780230295216 0230295215 1282998765 9781282998766 9780230283640 0230283640
OCLC Number: 700706988
Description: 1 online resource (217 pages)
Contents: Cover; Half Title; Title Page; Copyright Page; Contents; List of Tables; List of Figures; Acknowledgments; About the Editors; Notes on Contributors; Chapter Abstracts; Part I Markov Switching Models; 1 Valuing Equity when Discounted Cash Flows are Markov; 2 Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence; 3 A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets; Part II Persistence and Nonlinear Cointegration; 4 Nonlinear Persistence and Copersistence; 5 Fractionally Integrated Models for Volatility: A Review. 6 An Explanation for Persistence in Share Prices and their Associated Returns7 Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data; 8 Sparse-Patterned Wavelet Neural Networks and Their Applications to Stock Market Forecasting; 9 Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications for Oil and Stock Markets; Index.

Abstract:

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  Read more...

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