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

Rilegato

ISBN 10: 0230283640 ISBN 13: 9780230283640

Casa editrice: Palgrave Macmillan, 2010

Riassunto

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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Informazioni sugli autori

JEREMY BERKOWITZ Associate Professor of Finance at Bauer College of Business, University of Houston, USA DEREK BOND Senior Lecturer in Financial Econometrics at the University of Ulster, UK THOMAS C. CHIANG Marshall M. Austin Professor of Finance at Drexel University, USA MICHAEL DREW Professor of Finance and Head of Finance and Financial Planning at Griffith Business School, Griffith University, Australia KENNETH DYSON Lecturer in Finance at the University of Ulster, UK MOHAMED EL HEDI AROURI Associate Professor of Finance at the University of Orleans, France DEAN FANTAZZINI Associate Professor in Econometrics and Finance at the Moscow School of Economics, Moscow State University, Russia CHRISTIAN GOURIEROUX Professor in the Department of Economics, University of Toronto, Canada MASSIMO GUIDOLIN Chair Professor of Finance at Manchester Business School, UK JOANN JASIAK Associate Professor in the Department of Economics, York University, Canada FREDJ JAWADI Assistant Professor at Amiens School of Management, France DUC KHUONG NGUYEN Professor of Finance and Head of the Department of Economics, Finance and Law at ISC Paris School of Management, France JACK PENM Academic Level D at the Australian National University, Australia ZHUO QIAO holds a Ph.D.in Economics from National University of Singapore FEDERICA RIA research affiliate with the Center for Analysis of Investment Risk, at Manchester Business School, UK WING-KEUNG WONG Professor of Economics of Department of Economics and Institute for Computational Mathematics, Hong Kong Baptist University, Hong Kong.

Greg N. Gregoriou is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC Business School, Nice, France. He has published 50 books, more than 55 refereed publications and 22 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 at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.

Dettagli dell?edizione

• Editore: Palgrave Macmillan
• Data di pubblicazione: 2010
• ISBN 10: 0230283640
• ISBN 13: 9780230283640
• Rilegatura: Copertina rigida
• Lingua: Inglese
• Numero di pagine: 196
• Redattore: Gregoriou Greg N., Pascalau Razvan
• Contatto del produttore: non disponibile