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

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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration image
ISBN-10:

1349328944

ISBN-13:

9781349328949

Edition: 1st ed. 2011
Released: Jan 01, 2011
Format: Paperback, 215 pages
Related ISBN: 9780230283640

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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