Nonlinear financial econometrics: Markov switching models, persistence and nonlinear cointegration

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. GREG N. GREGORIOU is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC Business School, Nice, France. He has published 50 books, over 55 refereed publications and 22 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 at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics. INDICE: PART I: MARKOV SWITCHING MODELS - Valuing Equity when Discounted Cash-Flows are Markov; 'J.Berkowitz - 'Markov Switching Mean-Variance EfficientFrontier Dynamics: Theory and International Evidence; 'M.Guidolin' &' F.Ria' - A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets; 'T.C.Chiang, Z.Qiao' &' W.-K.Wong - 'PART II: PERSISTENCE AND NONLINEAR COINTEGRATION - Nonlinear Persistence and Cointegration; 'C.Gourieroux' &' J.Jasiak' - Fractionally Integrated Models for Volatility: A Review; 'D.Fantazzini' - An Explanation for Persistence in Share Prices and their Associated Returns; 'D.Bond' &' K.A.Dyson - 'Nonlinear Shift Contagion Modelling: Further Evidence from High Frequency Stock Data; 'M.El Hedi Arouri, F.Jawadi, W.Couhichi '& 'D.K.Nguyen - 'Selection of the Extended State-Space VECM Modelling, Using the Bootstrap; 'J.Penm & R.D. Terrell' - Nonlinear Cointegration and Nonlinear Error Correction Models: Theory and Empirical Applications for Oil and Stock Markets; 'M.El Hedi Arouri, F.Jawadi' &' D.K.Nguyen'

• ISBN: 978-0-230-28364-0
• Editorial: Palgrave MacM
• Encuadernacion: Cartoné
• Páginas: 216
• Fecha Publicación: 08/12/2010
• Nº Volúmenes: 1
• Idioma: Desconocido