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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
Corporate Author: SpringerLink (Online service)
Other Authors: Gregoriou, Greg N. (Editor), Pascalau, Razvan (Editor)
Format: eBook
Language:English
Published: London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan, 2011.
Subjects:
Business and Management.
Business Finance.
Business Mathematics.
Econometrics.
Economic Theory/Quantitative Economics/Mathematical Methods.
Finance, general.
Business enterprises > Finance.
Business mathematics.
Business.
Economics.
Finance.
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
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.
Item Description:Electronic resource.
Physical Description:1 online resource (XIX, 196 pages)
ISBN:9780230295216
DOI:10.1057/9780230295216