Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Editor
- Greg N. Gregoriou(State University of New York
Research Associate EDHEC Business School)Razvan Pascalau(State University of New York)
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1057/9780230295216
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Book Chapters
The following chapters of this book are listed in IDEAS- Jeremy Berkowitz, 2011. "Valuing Equity when Discounted Cash Flows are Markov," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 1, pages 3-20, Palgrave Macmillan.
- Massimo Guidolin & Federica Ria, 2011. "Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 2, pages 21-48, Palgrave Macmillan.
- Thomas C. Chiang & Zhuo Qiao & Wing-Keung Wong, 2011. "A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 3, pages 49-73, Palgrave Macmillan.
- Christian Gourieroux & Joann Jasiak, 2011. "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103, Palgrave Macmillan.
- Dean Fantazzini, 2011. "Fractionally Integrated Models for Volatility: A Review," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 5, pages 104-123, Palgrave Macmillan.
- Derek Bond & Kenneth A. Dyson, 2011. "An Explanation for Persistence in Share Prices and their Associated Returns," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 6, pages 124-142, Palgrave Macmillan.
- Mohamed El Hedi Arouri & Fredj Jawadi & Wael Louhichi & Duc Khuong Nguyen, 2011. "Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 7, pages 143-160, Palgrave Macmillan.
- Jack Penm & R. D. Terrell, 2011. "Sparse-Patterned Wavelet Neural Networks and Their Applications to Stock Market Forecasting," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 8, pages 161-170, Palgrave Macmillan.
- Mohamed El Hedi Arouri & Fredj Jawadi & Duc Khuong Nguyen, 2011. "Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications for Oil and Stock Markets," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 9, pages 171-193, Palgrave Macmillan.
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