Nonlinear Financial Econometrics

Nonlinear Financial Econometrics Markhov Switching Models, Persistence and Nonlinear Cointegration

2011

Hardback (01 Jan 2011)

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Publisher's Synopsis

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.

Book information

ISBN: 9780230283640
Publisher: Palgrave Macmillan UK
Imprint: Palgrave Macmillan
Pub date:
Edition: 2011
DEWEY: 332.63221015118
DEWEY edition: 22
Language: English
Number of pages: 196
Weight: 380g
Height: 226mm
Width: 145mm
Spine width: 15mm