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Nonlinear Financial Econometrics

Nonlinear Financial Econometrics Markhov Switching Models, Persistence and Nonlinear Cointegration

2011

Hardback (01 Jan 2011)

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Publisher's 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 Publisher

Palgrave Macmillan

From award-winning research which changes the world to textbooks and study guides which educate and inspire, we publish across the humanities, social sciences and business for academics, students, professionals and librarians worldwide.With offices in London and New York, and sales teams across 50 countries, we have a global reach and as part of Macmillan Science and Education, are proud to uphold an unbroken tradition of over 170 years of academic publishing.

Book information

ISBN: 9780230283640
Publisher: Palgrave Macmillan UK
Imprint: Palgrave Macmillan
Pub date:
Edition: 2011
DEWEY: 332.63221015118
DEWEY edition: 22
Language: English
Number of pages: 196
Weight: 380g
Height: 226mm
Width: 145mm
Spine width: 15mm