Nonlinear Financial Econometrics Markov Switching Models Persistence and Nonlinear Cointegration 1st Edition by Greg Gregoriou, Razvan Pascalau ISBN 0230295215 9780230295216

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration 1st Edition by Greg N. Gregoriou, Razvan Pascalau – Ebook PDF Instant Download/Delivery. 0230295215, 9780230295216

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Product details:

ISBN 10: 0230295215

ISBN 13: 9780230295216

Author:  Greg N. Gregoriou, Razvan Pascalau 

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration 1st Edition: 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.

 

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration 1st Edition Table of contents:

Part I: Markov Switching Models

• Chapter 1: Valuing Equity when Discounted Cash Flows are Markov
• Chapter 2: Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence
• Chapter 3: A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets

Part II: Persistence and Nonlinear Cointegration

• Chapter 4: Nonlinear Persistence and Copersistence
• Chapter 5: Fractionally Integrated Models for Volatility: A Review
• Chapter 6: An Explanation for Persistence in Share Prices and their Associated Returns
• Chapter 7: Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data
• Chapter 8: Sparse-Patterned Wavelet Neural Networks and Their Applications to Stock Market Forecasting
• Chapter 9: Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications

 

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