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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Greg N. GregoriouRazvan Pascalau
出版Springer, 2010-12-08
主題Business & Economics / Corporate Finance / GeneralBusiness & Economics / EconometricsBusiness & Economics / Business MathematicsBusiness & Economics / Finance / GeneralBusiness & Economics / GeneralBusiness & Economics / Economics / Theory
ISBN02302952159780230295216
URLhttp://books.google.com.hk/books?id=d5J9DAAAQBAJ&hl=&source=gbs_api
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註釋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.