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EbookBell Team
4.0
26 reviews
ISBN 13: 9780230283640
Author: Greg N Gregoriou, Razvan Pascalau
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
Part I Markov Switching Models
1 Valuing Equity when Discounted Cash Flows are Markov
2 Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence
3 A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets
Part II Persistence and Nonlinear Cointegration
4 Nonlinear Persistence and Copersistence
5 Fractionally Integrated Models for Volatility: A Review
6 An Explanation for Persistence in Share Prices and their Associated Returns
7 Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data
8 Sparse-Patterned Wavelet Neural Networks and Their Applications to Stock Market Forecasting
9 Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications f
markov model example
nonlinear econometrics
nonlinear economics
nonlinear stochastic differential equations
nonlinear factor model
Tags: Greg N Gregoriou, Razvan Pascalau, Financial, Econometrics
