Description: Nonlinear Financial Econometrics : Markov Switching Models, Persistence and Nonlinear Cointegration, Hardcover by Gregoriou, Greg N. (EDT); Pascalau, Razvan (EDT), ISBN 0230283640, ISBN-13 9780230283640, Brand New, Free shipping in the US This book introduces new methods to value equity and model the Markowitz efficient frontier using Markov switching models. In particular, th shows that there are substantial differences between `bull' and `bear' market efficient portfolios that need to be taken into account when building diversified portfolios. Also, th proposes a new concept of persistence that may be used to define and better understand the concept of nonlinear cointegration. In addition, th 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, th 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 Title: Nonlinear Financial Econometrics : Markov Switching Models, Persi
Number of Pages: Xix, 196 Pages
Language: English
Publication Name: Nonlinear Financial Econometrics : Markov Switching Models, Persistence and Nonlinear Cointegration
Publisher: Palgrave Macmillan The Limited
Subject: Probability & Statistics / Stochastic Processes, Corporate Finance / Valuation, Econometrics, Corporate Finance / General, Business Mathematics
Publication Year: 2010
Item Height: 0.6 in
Item Weight: 16.4 Oz
Type: Textbook
Subject Area: Mathematics, Business & Economics
Author: Razvan Pascalau
Item Length: 9 in
Item Width: 6 in
Format: Hardcover
