Screen LibraryNonlinear financial econometrics：Markhov switching models, persistence and nonlinear cointegration
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| Group Author: | ; |
|---|---|
| Published: |
Palgrave Macmillan,
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| Publisher Address: | New York, N.Y. |
| Publication Dates: | 2011. |
| Literature type: | Book |
| Language: | English |
| Subjects: | |
| Carrier Form: | xix, 196 p.: ill. ; 23 cm. |
| ISBN: |
9780230283640 (hbk.) 0230283640 (hbk.) |
| Index Number: | F224 |
| CLC: | F224.0 |
| Call Number: | F224.0/N813-2 |
| Contents: |
Includes bibliographical references and index. Valuing equity when discounted cash flows are Markov / Jeremy Berkowitz -- Markov switching mean-variance frontier dynamics : theory and international evidence / Massimo Guidolin and Federica Ria -- A Markov regime-switching model of stock return volatility : evidence from Chinese markets / Thomas C. Chiang, Zhuo Qiao and Wing-Keung Wong -- Nonlinear persistence and copersistence / Christian Gourieroux and Joann Jasiak -- Fractionally integrated models for volatility : a review. |