Markov switching models, persistence and nonlinear cointegration
Author(s)
Bibliographic Information
Markov switching models, persistence and nonlinear cointegration
（Nonlinear financial econometrics / edited by Greg N. Gregoriou and Razvan Pascalau）
Palgrave Macmillan, 2011
- : hardback
Available at / 14 libraries
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National Graduate Institute for Policy Studies Library (GRIPS Library)
: hardback331.19||G8401258323
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Description and Table of Contents
Description
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.
Table of Contents
- 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
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