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

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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration - Gregoriou, Greg N, and Pascalau, Razvan
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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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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration 2011, Palgrave MacMillan, London

ISBN-13: 9781349328949

2011 edition

Trade paperback

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration 2010, Palgrave Macmillan, Basingstoke

ISBN-13: 9780230283640

Hardcover