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

Editors: Gregoriou, G., Pascalau, R. (Eds.)

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About this book

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 authors

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

Table of contents (9 chapters)

  • Valuing Equity when Discounted Cash Flows are Markov

    Berkowitz, Jeremy

    Pages 3-20

  • Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence

    Guidolin, Massimo (et al.)

    Pages 21-48

  • A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets

    Chiang, Thomas C. (et al.)

    Pages 49-73

  • Nonlinear Persistence and Copersistence

    Gourieroux, Christian (et al.)

    Pages 77-103

  • Fractionally Integrated Models for Volatility: A Review

    Fantazzini, Dean

    Pages 104-123

Buy this book

eBook $99.00
price for USA
  • ISBN 978-0-230-29521-6
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Download immediately after purchase
Hardcover $135.00
price for USA
  • ISBN 978-0-230-28364-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $130.00
price for USA
  • ISBN 978-1-349-32894-9
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.

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Bibliographic Information

Bibliographic Information
Book Title
Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Editors
  • G. Gregoriou
  • R. Pascalau
Copyright
2011
Publisher
Palgrave Macmillan UK
Copyright Holder
Palgrave Macmillan, a division of Macmillan Publishers Limited
eBook ISBN
978-0-230-29521-6
DOI
10.1057/9780230295216
Hardcover ISBN
978-0-230-28364-0
Softcover ISBN
978-1-349-32894-9
Edition Number
1
Number of Pages
XIX, 196
Topics