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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration - Hardcover
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models. In particular, the book proposes that there are substantial differences between bull and bear market efficient portfolios that need to be taken into account when building diversified portfolios. Also, the book proposes a new concept of persistence that may be used to define and better understand the concept of nonlinear cointegration. In addition, the book reviews the recent developments of using fractional integrated models to model stock market volatility and suggests a new explanation for the persistence observed in share prices and their associated returns. Lastly, the book develops a new procedure that involves using the bootstrap to build vector error correction models and as an application, investigates the nonlinear relationship between oil and stock markets, respectively
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Book Description:
This book proposes new methods to value equity, built efficient portfolios, and model stock market volatility using Markov switching, fractionally integrated, and other nonlinear models
About the Author:
GREG N. GREGORIOU is Professor of Finance at State University of New York, USA. He has published 34 books, over 50 refereed publications in peer-reviewed journals and 20 book chapters. His research interests focus on hedge funds, funds of hedge funds and managed futures.
RAZVAN PASCALAU is Assistant Professor of Economics at State University of New York, USA. His research interests include (applied) Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.
RAZVAN PASCALAU is Assistant Professor of Economics at State University of New York, USA. His research interests include (applied) Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.
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- PublisherPalgrave Macmillan
- Publication date2010
- ISBN 10 0230283640
- ISBN 13 9780230283640
- BindingHardcover
- Number of pages215
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by Gregoriou, Greg N., Pascalau, Razvan [Hardcover ]
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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
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Book Description Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 196 pp. Englisch. Seller Inventory # 9780230283640
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
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Book Description Gebunden. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. JEREMY BERKOWITZ Associate Professor of Finance at Bauer College of Business, University of Houston, USA DEREK BOND Senior Lecturer in Financial Econometrics at the University of Ulster, UK THOMAS C. CHIANG Marshall M. Austin Professor of Finance at Drexel . Seller Inventory # 458410489
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
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Book Description Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9780230283640
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
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