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Palgrave Macmillan

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

ISBN 9780230283640
Publication Date January 2011
Formats Hardcover Ebook (EPUB) Ebook (PDF) 
Publisher Palgrave Macmillan

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models. In particular, the book proposes that there are substantial differences between 'bull' and 'bear' market efficient portfolios that need to be taken into account when building diversified portfolios. Also, the book proposes a new concept of persistence that may be used to define and better understand the concept of nonlinear cointegration. In addition, the book 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, the book 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

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.

PART I: MARKOV SWITCHING MODELS
Valuing Equity when Discounted Cash-Flows are Markov; J.Berkowitz
Markov Switching Mean-Variance Efficient Frontier 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

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 Amiens School 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

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