Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Gregoriou, Greg N.; Pascalau, Razvan

ISBN 10: 1349328944 / ISBN 13: 9781349328949

Published by Palgrave Macmillan, 2011

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Bibliographic Details

• Title: Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
• Publisher: Palgrave Macmillan
• Publication Date: 2011
• Language: English
• ISBN 10: 1349328944
• ISBN 13: 9781349328949
• Binding: Soft cover
• Condition: New

About this title

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.

About the Author

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 University, USA MICHAEL DREW Professor of Finance and Head of Finance and Financial Planning at Griffith Business School, Griffith University, Australia KENNETH DYSON Lecturer in Finance at the University of Ulster, UK MOHAMED EL HEDI AROURI Associate Professor of Finance at the University of Orleans, France DEAN FANTAZZINI Associate Professor in Econometrics and Finance at the Moscow School of Economics, Moscow State University, Russia CHRISTIAN GOURIEROUX Professor in the Department of Economics, University of Toronto, Canada MASSIMO GUIDOLIN Chair Professor of Finance at Manchester Business School, UK JOANN JASIAK Associate Professor in the Department of Economics, York University, Canada FREDJ JAWADI Assistant Professor at AmiensSchool of Management, France DUC KHUONG NGUYEN Professor of Finance and Head of the Department of Economics, Finance and Law at ISC Paris School of Management, France JACK PENM Academic Level D at the Australian National University, Australia ZHUO QIAO holds a Ph.D.in Economics from National University of Singapore FEDERICA RIA research affiliate with the Center for Analysis of Investment Risk, at Manchester Business School, UK WING-KEUNG WONG Professor of Economics of Department of Economics and Institute for Computational Mathematics, Hong Kong Baptist University, Hong Kong.