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

Bibliographic Details
Other Authors: Gregoriou, Greg N. (Editor), Pascalau, Razvan (Editor)
Format: eBook
Language:English
Published: London Palgrave Macmillan UK 2011, 2011
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
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520 |a 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