Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
| Author | : | |
| Rating | : | 4.84 (604 Votes) |
| Asin | : | 0230283640 |
| Format Type | : | paperback |
| Number of Pages | : | 196 Pages |
| Publish Date | : | 2015-11-28 |
| Language | : | English |
DESCRIPTION:
CHIANG Marshall M. About the Author 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. 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 Fin
Afsin Sahin said Nonlinear Financial Econometrics. The book has a contribution to the literature for highlighting the key recent methods such as nonlinear cointegration and stressing its applications on economics.
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 Or
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.