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

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  • Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration Book Detail

  • Author : Greg N. Gregoriou
  • Release Date : 2010-12-08
  • Publisher : Springer
  • Genre : Business & Economics
  • Pages : 214
  • ISBN 13 : 0230295215
  • File Size : 19,19 MB

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by Greg N. Gregoriou PDF Summary

Book Description: 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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