Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
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- Artikel-Nr.: 10337649
Beschreibung
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
Eigenschaften
Breite: | 172 |
Gewicht: | 326 g |
Höhe: | 14 |
Länge: | 234 |
Seiten: | 196 |
Sprachen: | Englisch |
Autor: | Greg N. Gregoriou, Razvan Pascalau |
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