BOOKS - Nonlinear Financial Econometrics: Markov Switching Models, Persistence and No...
US $5.78
469859
469859
Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Author: Greg N. Gregoriou
Year: December 8, 2010
Format: PDF
File size: PDF 1.9 MB
Language: English
Year: December 8, 2010
Format: PDF
File size: PDF 1.9 MB
Language: English
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.