Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
ISBN-10:
0230283640
ISBN-13:
9780230283640
Author(s): Gregoriou, Greg N.; Pascalau, Razvan
Edition: 2011
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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