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Gregoriou, Greg N.

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

Gregoriou, Greg N. - Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, ebook

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ISBN: 9780230295216
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Table of contents

Part I. Markov Switching Models

1. Valuing Equity when Discounted Cash Flows are Markov
Jeremy Berkowitz

2. Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence
Massimo Guidolin, Federica Ria

3. A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets
Thomas C. Chiang, Zhuo Qiao, Wing-Keung Wong

Part II. Persistence and Nonlinear Cointegration

4. Nonlinear Persistence and Copersistence
Christian Gourieroux, Joann Jasiak

5. Fractionally Integrated Models for Volatility: A Review
Dean Fantazzini

6. An Explanation for Persistence in Share Prices and their Associated Returns
Derek Bond, Kenneth A. Dyson

7. Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data
Mohamed El Hedi Arouri, Fredj Jawadi, Wael Louhichi, Duc Khuong Nguyen

8. Sparse-Patterned Wavelet Neural Networks and Their Applications to Stock Market Forecasting
Jack Penm, R. D. Terrell

9. Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications for Oil and Stock Markets
Mohamed El Hedi Arouri, Fredj Jawadi, Duc Khuong Nguyen

Keywords: Business and Management, Business Finance, Econometrics, Business Mathematics, Economic Theory/Quantitative Economics/Mathematical Methods, Finance, general

Editor
 
Publisher
Springer
Publication year
2011
Language
en
Edition
1
Page amount
215 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780230295216
Printed ISBN
978-1-349-32894-9

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