Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration - Couverture rigide

Gregoriou, Greg N.; Pascalau, Razvan

Couverture rigide

ISBN 10 : 0230283640 ISBN 13 : 9780230283640

Editeur : Palgrave Macmillan, 2010

Synopsis

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A propos du livre

Présentation de l'éditeur

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

Biographie de l'auteur

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.

À propos de cette édition

• Éditeur: Palgrave Macmillan
• Date d'édition: 2010
• ISBN 10: 0230283640
• ISBN 13: 9780230283640
• Reliure: Relié
• Nombre de pages: 196