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This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models. In particular, the book proposes that there are substantial differences between bull and bear market efficient portfolios that need to be taken into account when building diversified portfolios. Also, the book proposes a new concept of persistence that may be used to define and better understand the concept of nonlinear cointegration. In addition, the book reviews the recent developments of using fractional integrated models to model stock market volatility and suggests a new explanation for the persistence observed in share prices and their associated returns. Lastly, the book develops a new procedure that involves using the bootstrap to build vector error correction models and as an application, investigates the nonlinear relationship between oil and stock markets, respectively
GREG N. GREGORIOU is Professor of Finance at State University of New York, USA. He has published 34 books, over 50 refereed publications in peer-reviewed journals and 20 book chapters. His research interests focus on hedge funds, funds of hedge funds and managed futures.
RAZVAN PASCALAU is Assistant Professor of Economics at State University of New York, USA. His research interests include (applied) Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Gebunden. Etat : New. 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. CHIANG Marshall M. Austin Professor of Finance at Drexel . N° de réf. du vendeur 458410489
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