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

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

Paperback

EconomicsInvesting & Finance

ISBN10: 1349328944
ISBN13: 9781349328949
Publisher: Springer Nature
Published: Jan 1 2011
Pages: 196
Weight: 0.66
Height: 0.46 Width: 6.00 Depth: 9.00
Language: English
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.

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Economics