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

Discover groundbreaking insights in "Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration" by G. Gregoriou, published by Palgrave Macmillan in 2011. This first edition, comprising 196 pages, introduces innovative techniques for valuing equity and modeling the Markowitz efficient frontier through the lens of Markov switching models. Gregoriou's work provides compelling evidence and solutions to effectively capture the persistence observed in stock returns, applicable to both developed and emerging markets. Ideal for finance professionals and scholars alike, this book is a valuable resource for understanding complex financial dynamics. Enhance your knowledge and strategies in nonlinear econometrics with this essential read.