Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
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
| Other Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
London
Palgrave Macmillan UK
2011, 2011
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| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
| 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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| Physical Description: | XIX, 196 p online resource |
| ISBN: | 9780230295216 |