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

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

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