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The Resource Nonlinear financial econometrics : Markov switching models, persistence and nonlinear cointegration, edited by Greg N. Gregoriou, Razvan Pascalau, (electronic book)

Nonlinear financial econometrics : Markov switching models, persistence and nonlinear cointegration, edited by Greg N. Gregoriou, Razvan Pascalau, (electronic book)

Label
Nonlinear financial econometrics : Markov switching models, persistence and nonlinear cointegration
Title
Nonlinear financial econometrics
Title remainder
Markov switching models, persistence and nonlinear cointegration
Statement of responsibility
edited by Greg N. Gregoriou, Razvan Pascalau
Contributor
Subject
Language
eng
Summary
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
Member of
Cataloging source
UK-WkNB
Illustrations
illustrations
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorDate
1956-
http://library.link/vocab/relatedWorkOrContributorName
  • Gregoriou, Greg N.
  • Pascalau, Razvan
http://library.link/vocab/subjectName
  • Econometric models
  • Nonlinear theories
  • Markov processes
  • Corporations
Label
Nonlinear financial econometrics : Markov switching models, persistence and nonlinear cointegration, edited by Greg N. Gregoriou, Razvan Pascalau, (electronic book)
Instantiates
Publication
Contents
Part I: Markov switching models -- Valuing Equity when Discounted Cash-Flows are Markov / J. Berkowitz -- Markov Switching Mean-Variance Efficient Frontier Dynamics: Theory and International Evidence / M. Guidolin & F. Ria -- A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets / T.C. Chiang, Z. Qiao & W.-K. Wong -- Part II: Persistence and nonlinear cointegration -- Nonlinear Persistence and Cointegration / C. Gourieroux & J. Jasiak -- Fractionally Integrated Models for Volatility: A Review / D. Fantazzini -- An Explanation for Persistence in Share Prices and their Associated Returns / D. Bond & K.A. Dyson -- Nonlinear Shift Contagion Modelling: Further Evidence from High Frequency Stock Data / M. El Hedi Arouri, F. Jawadi, W. Couhichi & D.K. Nguyen -- Selection of the Extended State-Space VECM Modelling, Using the Bootstrap / J. Penm & R.D. Terrell -- Nonlinear Cointegration and Nonlinear Error Correction Models: Theory and Empirical Applications for Oil and Stock Markets / M. El Hedi Arouri, F. Jawadi & D.K. Nguyen
Control code
9780230295216
Extent
216 p.
Form of item
electronic
Governing access note
Users can print and/or download individual articles/chapters and other individual items from Palgrave Connect ebooks, limited to no more than one chapter per title per authorised user
Isbn
9780230295216
Other physical details
ill.
Specific material designation
remote
Type of computer file
PDF
Label
Nonlinear financial econometrics : Markov switching models, persistence and nonlinear cointegration, edited by Greg N. Gregoriou, Razvan Pascalau, (electronic book)
Publication
Contents
Part I: Markov switching models -- Valuing Equity when Discounted Cash-Flows are Markov / J. Berkowitz -- Markov Switching Mean-Variance Efficient Frontier Dynamics: Theory and International Evidence / M. Guidolin & F. Ria -- A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets / T.C. Chiang, Z. Qiao & W.-K. Wong -- Part II: Persistence and nonlinear cointegration -- Nonlinear Persistence and Cointegration / C. Gourieroux & J. Jasiak -- Fractionally Integrated Models for Volatility: A Review / D. Fantazzini -- An Explanation for Persistence in Share Prices and their Associated Returns / D. Bond & K.A. Dyson -- Nonlinear Shift Contagion Modelling: Further Evidence from High Frequency Stock Data / M. El Hedi Arouri, F. Jawadi, W. Couhichi & D.K. Nguyen -- Selection of the Extended State-Space VECM Modelling, Using the Bootstrap / J. Penm & R.D. Terrell -- Nonlinear Cointegration and Nonlinear Error Correction Models: Theory and Empirical Applications for Oil and Stock Markets / M. El Hedi Arouri, F. Jawadi & D.K. Nguyen
Control code
9780230295216
Extent
216 p.
Form of item
electronic
Governing access note
Users can print and/or download individual articles/chapters and other individual items from Palgrave Connect ebooks, limited to no more than one chapter per title per authorised user
Isbn
9780230295216
Other physical details
ill.
Specific material designation
remote
Type of computer file
PDF

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