Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Greg N. Gregoriou, Razvan Pascalau
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.
Категорії:
Рік:
2011
Видавництво:
Palgrave Macmillan
Мова:
english
Сторінки:
217
ISBN 10:
0230283640
ISBN 13:
9780230283640
Файл:
PDF, 1.81 MB
IPFS:
,
english, 2011